ANNUAL REPORT
MAY 31, 2016
Alternative Solutions
ALTS Morningstar Alternatives Solution ETF
Specialty Equity
TOLZ DJ Brookfield Global Infrastructure ETF
PEX Global Listed Private Equity ETF
CSM Large Cap Core Plus
Dividend Growers
NOBL S&P 500 Dividend Aristocrats ETF
REGL S&P MidCap 400 Dividend Aristocrats ETF
SMDV Russell 2000 Dividend Growers ETF
EFAD MSCI EAFE Dividend Growers ETF
EUDV MSCI Europe Dividend Growers ETF
EMDV MSCI Emerging Markets Dividend Growers ETF
S&P 500 Ex-Sector
SPXE S&P 500� Ex-Energy ETF
SPXN S&P 500� Ex-Financials ETF
SPXV S&P 500� Ex-Health Care ETF
SPXT S&P 500� Ex-Technology ETF
Currency Hedged
HGEU Hedged FTSE Europe ETF
HGJP Hedged FTSE Japan ETF
Interest Rate Hedged Bond
HYHG High Yield�Interest Rate Hedged
IGHG Investment Grade�Interest Rate Hedged
Global Fixed Income
COBO USD Covered Bond
GGOV German Sovereign/Sub-Sovereign ETF
EMSH Short Term USD Emerging Markets Bond ETF
Hedge Strategies
HDG Hedge Replication ETF
FUT Managed Futures Strategy ETF
MRGR Merger ETF
RALS RAFI� Long/Short
Inflation
RINF Inflation Expectations ETF
Credit
WYDE CDS Short North American HY Credit ETF
Geared
Short MarketCap
SH Short S&P500�
PSQ Short QQQ�
DOG Short Dow30SM
MYY Short MidCap400
RWM Short Russell2000
SBB Short SmallCap600
SDS UltraShort S&P500�
QID UltraShort QQQ�
DXD UltraShort Dow30SM
MZZ UltraShort MidCap400
TWM UltraShort Russell2000
SDD UltraShort SmallCap600
SPXU UltraPro Short S&P500�
SQQQ UltraPro Short QQQ�
SDOW UltraPro Short Dow30SM
SMDD UltraPro Short MidCap400
SRTY UltraPro Short Russell2000
Short Sector
SBM Short Basic Materials
SEF Short Financials
DDG Short Oil & Gas
REK Short Real Estate
KRS Short S&P Regional Banking
SMN UltraShort Basic Materials
BIS UltraShort Nasdaq Biotechnology
SZK UltraShort Consumer Goods
SCC UltraShort Consumer Services
SKF UltraShort Financials
GDXS UltraShort Gold Miners
GDJS UltraShort Junior Miners
RXD UltraShort Health Care
HBZ UltraShort Homebuilders & Supplies
SIJ UltraShort Industrials
DUG UltraShort Oil & Gas
SOP UltraShort Oil & Gas Exploration & Production
SRS UltraShort Real Estate
SSG UltraShort Semiconductors
REW UltraShort Technology
SDP UltraShort Utilities
ZBIO UltraPro Short Nasdaq Biotechnology
FINZ UltraPro Short Financial Select Sector
Short International
EFZ Short MSCI EAFE
EUM Short MSCI Emerging Markets
YXI Short FTSE China 50
EFU UltraShort MSCI EAFE
EEV UltraShort MSCI Emerging Markets
EPV UltraShort FTSE Europe
JPX UltraShort MSCI Pacific ex-Japan
BZQ UltraShort MSCI Brazil Capped
FXP UltraShort FTSE China 50
EWV UltraShort MSCI Japan
SMK UltraShort MSCI Mexico Capped IMI
Short Fixed Income
TBX Short 7-10 Year Treasury
TBF Short 20+ Year Treasury
SJB Short High Yield
IGS Short Investment Grade Corporate
TBZ UltraShort 3-7 Year Treasury
PST UltraShort 7-10 Year Treasury
TBT UltraShort 20+ Year Treasury
TPS UltraShort TIPS
TTT UltraPro Short 20+ Year Treasury
Ultra MarketCap
SSO Ultra S&P500�
QLD Ultra QQQ�
DDM Ultra Dow30SM
MVV Ultra MidCap400
UWM Ultra Russell2000
SAA Ultra SmallCap600
UPRO UltraPro S&P500�
TQQQ UltraPro QQQ�
UDOW UltraPro Dow30SM
UMDD UltraPro MidCap400
URTY UltraPro Russell2000
Ultra Sector
UYM Ultra Basic Materials
BIB Ultra Nasdaq Biotechnology
UGE Ultra Consumer Goods
UCC Ultra Consumer Services
UYG Ultra Financials
GDXX Ultra Gold Miners
GDJJ Ultra Junior Miners
RXL Ultra Health Care
HBU Ultra Homebuilders & Supplies
UXI Ultra Industrials
DIG Ultra Oil & Gas
UOP Ultra Oil & Gas Exploration & Production
URE Ultra Real Estate
KRU Ultra S&P Regional Banking
USD Ultra Semiconductors
ROM Ultra Technology
LTL Ultra Telecommunications
UPW Ultra Utilities
UBIO UltraPro Nasdaq Biotechnology
FINU UltraPro Financial Select Sector
Ultra International
EFO Ultra MSCI EAFE
EET Ultra MSCI Emerging Markets
UPV Ultra FTSE Europe
UXJ Ultra MSCI Pacific ex-Japan
UBR Ultra MSCI Brazil Capped
XPP Ultra FTSE China 50
EZJ Ultra MSCI Japan
UMX Ultra MSCI Mexico Capped IMI
Ultra Fixed Income
UST Ultra 7-10 Year Treasury
UBT Ultra 20+ Year Treasury
UJB Ultra High Yield
IGU Ultra Investment Grade Corporate
PROSHARES TRUST Distributor: SEI Investments Distribution Co.
TABLE OF CONTENTS
I |
Shareholder Letter |
||||||
II |
Management Discussion of Fund Performance |
||||||
CXXXVII |
Expense Examples |
||||||
1 |
Schedule of Portfolio Investments |
||||||
2 |
Alternative Solutions |
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3 |
Specialty Equity |
||||||
11 |
Dividend Growers |
||||||
23 |
S&P 500 Ex-Sector |
||||||
31 |
Currency Hedged |
||||||
36 |
Interest Rate Hedged Bond |
||||||
46 |
Global Fixed Income |
||||||
52 |
Hedge Strategies |
||||||
62 |
Inflation |
||||||
63 |
Credit |
||||||
64 |
Geared |
255 |
Statements of Assets and Liabilities |
||||||
278 |
Statements of Operations |
||||||
301 |
Statements of Changes in Net Assets |
||||||
345 |
Financial Highlights |
||||||
401 |
Notes to Financial Statements |
||||||
453 |
Report of Independent Registered Public Accounting Firm |
||||||
454 |
Board Approval of Investment Advisory Agreement |
||||||
455 |
Federal Tax Information |
||||||
457 |
Proxy Voting & Quarterly Portfolio Holdings Information |
||||||
458 |
Trustees and Officers of ProShares Trust |
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DEAR SHAREHOLDER:
I am pleased to present the ProShares Trust Annual Report for the 12 months ending May 31, 2016.
Stock Markets Volatile
Stock markets around the world suffered two significant declines during the 12-month period. Fears about slowing growth in China, an increase in U.S. interest rates and continued weakness in the oil sector sent shares tumbling in August 2015 and again in early 2016, with subsequent rebounds dependent on a variety of factors.
U.S. stock markets posted modestly positive results for the period, though riskier small-cap stocks declined. The S&P 500� and the Dow� were up 1.7% and 1.4%, respectively, while the S&P MidCap 400� was off 0.4% and the Russell 2000� Index was down 6.0%. U.S. economic growth has been sluggish and uneven, with stronger consumer spending and a healthier housing market offset by weakness in the corporate sector, partly a result of the strong U.S. dollar and the depressed energy sector.
Seven of 10 Dow Jones U.S. Industry Indices gained during the 12-month period. Utilities, telecom and consumer goods led the pack, up 15.4%, 10.7% and 8.5%, respectively. Oil and gas declined 12.6% on continued volatility in oil prices, while basic materials and health were down 6.9% and 4.7%, respectively.
Outside the United States, stock markets languished. The MSCI EAFE Index, which tracks developed markets outside North America, fell 9.7%. The MSCI Europe Index and the MSCI Japan Index declined 9.9% and 8.2%, respectively. Emerging markets suffered the worst declines, losing 17.6%, as measured by the MSCI Emerging Markets Index. European companies struggled to recover from the sell-off at the beginning of the year, partly a consequence of Europe's handling of the migrant crisis and the risk of Britain exiting the European Union, now likely to occur as a result of the Brexit vote on June 23, 2016. The Japanese yen's significant appreciation against the U.S. dollar hurt Japanese corporate profits and stock prices. Emerging markets, while rebounding from the low in January, were unable to recover losses sustained over the period, challenged by continued economic woes and low commodity prices.
Bond Markets Mostly Positive
Bond markets had mostly positive results for the 12-month period, with the Barclays U.S. Aggregate Bond Index up 3.0%. Treasurys posted solid returns, with the Ryan Labs Treasury 10 Year and 30 Year Indexes up 3.5% and 6.5%, respectively. Credit markets were mixed. The Markit iBoxx $ Liquid Investment Grade Index was up a healthy 4.5%, but the Markit iBoxx $ Liquid High Yield Index fell 1.4%.
ProShares Lineup Continues to Expand
A pioneer in the ETF industry with one of the largest lineups of ETFs, ProShares is celebrating its tenth anniversary this year. ProShares provides a variety of tactical and strategic opportunities for investors, including geared ETFs, alternative ETFs and ETFs focused on the companies with the longest track records of dividend growth. Our dividend growers suite has seen significant inflows in the last 12 months. For example, NOBL, has added more than $1 billion in assets, ending the period at nearly $2 billion. During the 12-month period, we launched the first S&P 500 ETFs that exclude a sector, an emerging markets dividend growers ETF, and a new managed futures ETF, adding a total of six new ETFs to help you manage risk or enhance returns.
Thank you for investing in ProShares. We appreciate your continued trust and confidence.
Sincerely,
Michael L. Sapir
Chairman of the Board of Trustees
PROSHARES.COM :: I
MANAGEMENT DISCUSSION
OF FUND
PERFORMANCE
II :: MAY 31, 2016 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Investment Strategies and Techniques:
One hundred and thirty (130) ProShares exchange-traded funds ("ETFs") were in existence for the entire period covered by this annual report. Fifteen (15) ETFs were launched during this period (each ProShares ETF, a "Fund" and, collectively, the "Funds").
Certain Funds are designed to match, before fees and expenses, the performance of an underlying index1 both on a single day and over time (each a "Matching Fund" and, collectively, the "Matching Funds").2 Certain other Funds are actively managed and are designed to meet a specified investment objective (each an "Active Fund" and, collectively, the "Active Funds").3
All other ProShares are "geared" funds (each, a "Geared Fund" and, collectively, the "Geared Funds").Each Geared Fund seeks daily investment results, before fees and expenses, that correspond to a multiple (i.e., 3x or 2x), the inverse (i.e., -1x) or an inverse multiple (i.e., -3x or -2x) of the daily performance of an underlying index. This means such Funds seek investment results for a single day only, as measured from the time the Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation, not for longer periods. The return of such a Fund for a period longer than a single day will be the result of each day's returns compounded over the period, which will very likely differ from the Fund's stated leveraged, inverse, or inverse leveraged multiple times the return of the Fund's index for that period. During periods of higher market volatility, the volatility of a Fund's index may affect the Fund's return as much as or more than the return of the index.
ProShare Advisors LLC ("PSA"), the Funds' investment adviser, uses a passive approach in seeking to achieve the investment objective of each Matching and Geared Fund. Using this approach, PSA determines the type, quantity and mix of investment positions that a Fund should hold to approximate the daily performance of its index.
When managing the Matching and Geared Funds, PSA does not invest the assets of the Funds in securities or financial instruments based on its view of the investment merit of a particular security, instrument, or company. In addition, PSA does not conduct conventional research or analysis; forecast market movements, trends or market conditions; or take defensive positions in managing assets of the Funds. When managing the Active Funds, PSA uses its discretion to invest the assets of each Fund in the manner it believes is best suited to meet the Fund's investment objective.
The Funds, other than the ProShares Morningstar Alternatives Solution ETF (ALTS), ProShares DJ Brookfield Global Infrastructure ETF (TOLZ), ProShares Global Listed Private Equity (PEX), ProShares S&P 500 Aristocrats ETF (NOBL), ProShares S&P MidCap 400 Dividend Aristocrats ETF (REGL), ProShares Russell 2000 Dividend Growers ETF (SMDV), ProShares MSCI EAFE Dividend Growers ETF (EFAD), ProShares USD
Covered Bond (COBO), ProShares German Sovereign/Sub-Sovereign ETF (GGOV), and ProShares Short Term USD Emerging Markets Bond ETF (EMSH), make significant use of investment techniques that may be considered aggressive, including the use of swap agreements, credit default swaps, futures contracts, forward contracts, and similar instruments ("derivatives"). Funds using these techniques are exposed to risks different from, or possibly greater than, the risks associated with investing directly in securities, including one or more of the following: counterparty risk (i.e., the risk that a counterparty is unable or unwilling to make timely payments) on the amount the Fund expects to receive from a derivatives counterparty, liquidity risk (i.e., the ability of a Fund to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of PSA) and increased correlation risk (i.e., the Fund's ability to achieve a high degree of correlation with its index). If a counterparty becomes bankrupt, or fails to perform its obligations, the value of an investment in the Fund may decline. With respect to swaps and forward contracts, the Funds seek to mitigate these risks by generally requiring derivatives counterparties to post collateral for the benefit of each Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owes the Fund, subject to certain minimum thresholds. The Funds typically enter into derivatives with counterparties that are major, global financial institutions. Any costs associated with using derivatives will have the effect of lowering the Fund's return. Although ProShares Morningstar Alternatives Solution ETF (ALTS) seeks to achieve its investment objective by investing primarily in underlying ProShares ETFs and does not directly invest in derivatives, certain of its underlying ProShares ETFs may obtain investment exposure through derivatives which in turn subjects ALTS to the risks associated with the use of derivatives.
Factors that Materially Affected the Performance of Each Fund during the Year Ended May 31, 20164:
Primary factors affecting Fund performance, before fees and expenses, include the following: the total return of the securities and derivatives (if any) held by the Funds, including the performance of the reference assets to which any derivatives are linked, financing rates paid or earned by the Fund associated with cash and, in certain cases, derivative positions; stock dividends, premiums and bond yields paid or earned by the Fund (including those included in the total return of derivatives contracts); the types of derivative contracts (if any) used by the Funds and their correlation to the relevant index or asset fees, expenses, and transaction costs; other miscellaneous factors; and, in the case of the Geared Funds, the volatility of the Fund's index (and its impact on compounding).
� Index Performance: The performance of each Matching and Geared Fund's index and, in turn, the factors and market conditions affecting that index are principal factors driving Fund performance.5
1 The term "index" as used herein includes the Merrill Lynch Factor Model-Exchange Series benchmark.
2 As of May 31, 2016, the Matching Funds are: ProShares Morningstar Alternatives Solution ETF (ALTS); ProShares DJ Brookfield Global Infrastructure ETF (TOLZ); ProShares Global Listed Private Equity ETF (PEX); ProShares Large Cap Core Plus (CSM); ProShares S&P 500 Dividend Aristocrats ETF (NOBL); ProShares S&P MidCap 400 Dividend Aristocrats ETF (REGL); ProShares Russell 2000 Dividend Growers ETF (SMDV); ProShares MSCI EAFE Dividend Growers ETF (EFAD); ProShares High Yield-Interest Rate Hedged (HYHG); ProShares Investment Grade-Interest Rate Hedged (IGHG); ProShares USD Covered Bond (COBO); ProShares German Sovereign/Sub-Sovereign ETF (GGOV); ProShares Short Term USD Emerging Markets Bond ETF (EMSH); ProShares Hedge Replication ETF (HDG); ProShares Merger ETF (MRGR); ProShares RAFI� Long/Short (RALS); Inflation Expectations ETF (RINF); Hedged FTSE Europe ETF (HGEU) and Hedged FTSE Japan ETF (HGJP).
3 As of May 31, 2016, the Active Funds are ProShares CDS Short North American HY Credit ETF (WYDE) and Managed Futures Strategy ETF (FUT).
4 Past performance is not a guarantee of future results.
5 Unlike the Funds, indexes do not actually hold a portfolio of securities and/or financial instruments. Indexes do not incur fees, expenses and transaction costs. Fees, expenses and transaction costs incurred by the Funds negatively impact the performance of the Funds relative to their Index. Performance of each Geared and Matching Fund will generally differ from the performance of the Fund's index.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2016 :: III
� Active Management: The ability of PSA to successfully select investments and make investment decisions that are suited to achieving the Active Fund's investment objective.
� Compounding of Daily Returns and Volatility: Each Geared Fund seeks to return a multiple (i.e., 3x or 2x), the inverse (i.e., -1x) or an inverse multiple (i.e., -3x or -2x) of its index return for a single day only. For longer periods, performance may be greater than or less than the one-day multiple times the index return. This is due to the effects of compounding, which exists in all investments, but has a more significant impact on geared funds. In general, during periods of higher index volatility, compounding will cause Fund performance for periods longer than a single day to be more or less than the multiple of the return of the index. This effect becomes more pronounced as volatility increases. Conversely, in periods of lower index volatility (particularly when combined with higher index returns),
Fund returns over longer periods can be higher than the multiple of the return of the index. Actual results for a particular period, before fees and expenses, are also dependent on the following factors:
a) period of time; b) financing rates associated with derivatives; c) other Fund expenses; d) dividends and interest paid with respect to the securities in the index, e) the index's volatility; and f) the index's performance. Longer holding periods, higher index volatility, inverse exposure and/or greater leverage each exacerbates the impact of compounding on a Fund's performance. During periods of higher index volatility, the volatility of an index may affect a Fund's return as much as or more than the return of its index. Daily volatility for the U.S. equity markets increased slightly from a year ago. The volatility for the S&P 500 for the year ended May 31, 2016, was 16.7%, which was higher than the prior year's volatility of 11.8%. The volatility of each index utilized by a Geared Fund is shown below.
Underlying Index |
One Year Index Volatility
or Since Inception of the Funds* |
||||||
S&P Oil & Gas Exploration & Production Select Industry Index* |
47.0 |
% |
|||||
NYSE Arca Gold Miners Index |
45.2 |
% |
|||||
Market Vectors Global Junior Gold Miners Index |
43.9 |
% |
|||||
MSCI Brazil 25/50 Index |
39.3 |
% |
|||||
NASDAQ Biotechnology Index� � For UltraPro Short Nasdaq Biotechnology and UltraPro Nasdaq Biotechnology* |
33.4 |
% |
|||||
NASDAQ Biotechnology Index� |
32.6 |
% |
|||||
FTSE Japan 100% Hedged to USD Index�* |
28.8 |
% |
|||||
Dow Jones U.S. Oil & GasSM Index |
28.7 |
% |
|||||
FTSE China 50 Index� |
27.7 |
% |
|||||
S&P Regional Banks Select Industry Index |
24.8 |
% |
|||||
MSCI Japan Index� |
24.4 |
% |
|||||
Dow Jones U.S. Select Home Construction Index* |
24.2 |
% |
|||||
Dow Jones U.S. SemiconductorsSM Index |
23.7 |
% |
|||||
Dow Jones U.S. Basic MaterialsSM Index |
22.1 |
% |
|||||
MSCI Mexico IMI 25/50 Index� |
21.3 |
% |
|||||
FTSE Developed Europe 100% Hedged to USD Index�* |
21.0 |
% |
|||||
MSCI Pacific ex-Japan Index� |
20.3 |
% |
|||||
S&P Financial Select Sector Index |
20.2 |
% |
|||||
Dow Jones U.S. TechnologySM Index |
20.1 |
% |
|||||
Dow Jones U.S. Select TelecommunictionsSM Index |
19.9 |
% |
|||||
Dow Jones U.S. Health CareSM Index |
19.9 |
% |
|||||
NASDAQ-100 Index� |
19.8 |
% |
|||||
FTSE Developed Europe Index� |
19.3 |
% |
|||||
Russell 2000� Index |
19.2 |
% |
|||||
Dow Jones U.S. FinancialsSM Index |
19.2 |
% |
|||||
MSCI Emerging Markets Index� |
18.7 |
% |
|||||
S&P SmallCap 600� |
18.1 |
% |
|||||
MSCI Emerging Markets Dividend Masters Index* |
17.5 |
% |
|||||
MSCI Europe Dividend Masters Index* |
17.4 |
% |
|||||
Dow Jones U.S. IndustrialsSM Index |
17.2 |
% |
|||||
Credit Suisse 130/30 Large Cap Index |
17.2 |
% |
|||||
Dow Jones Brookfield Global Infrastructure Composite Index |
17.2 |
% |
|||||
Dow Jones U.S. Real EstateSM Index |
17.2 |
% |
|||||
S&P MidCap 400� |
17.1 |
% |
|||||
Dow Jones U.S. Consumer ServicesSM Index |
16.7 |
% |
|||||
S&P 500� |
16.7 |
% |
|||||
Citi 30-Year TIPS (Treasury Rate-Hedged) Index |
16.4 |
% |
|||||
MSCI EAFE Index� |
16.2 |
% |
IV :: MAY 31, 2016 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Underlying Index |
One Year Index Volatility
or Since Inception of the Funds* |
||||||
Dow Jones Industrial AverageSM |
16.2 |
% |
|||||
Dow Jones U.S. UtilitiesSM Index |
16.0 |
% |
|||||
S&P 500� Ex-Health Care Index* |
15.8 |
% |
|||||
LPX Direct Listed Private Equity Index |
15.7 |
% |
|||||
MSCI EAFE Dividend Masters Index* |
15.6 |
% |
|||||
S&P 500� Ex-Information Technology & Telecommunication Services Index* |
15.4 |
% |
|||||
S&P MidCap 400� Dividend Aristocrats Index |
15.3 |
% |
|||||
S&P 500� Ex-Energy Index* |
15.3 |
% |
|||||
S&P 500� Ex-Financials Index* |
15.2 |
% |
|||||
S&P 500� Dividend Aristocrats� Index |
14.9 |
% |
|||||
Dow Jones U.S. Consumer GoodsSM Index |
14.8 |
% |
|||||
Russell 2000 Dividend Growth Index |
14.4 |
% |
|||||
Barclays Capital U.S. 20+ Year Treasury Bond Index |
14.4 |
% |
|||||
Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index |
10.8 |
% |
|||||
Citi High Yield (Treasury Rate-Hedged) Index |
10.4 |
% |
|||||
Markit CDX North American High Yield Index |
6.8 |
% |
|||||
Markit iBoxx $ Liquid High Yield Index |
6.5 |
% |
|||||
Morningstar� Diversified Alternatives IndexSM |
6.4 |
% |
|||||
Barclays U.S. 7-10 Year Treasury Bond Index |
6.0 |
% |
|||||
Markit iBoxx $ Liquid Investment Grade Index |
5.6 |
% |
|||||
Merrill Lynch Factor Model � Exchange Series |
5.0 |
% |
|||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
4.9 |
% |
|||||
S&P� Strategic Futures Index* |
4.3 |
% |
|||||
Citi Corporate Investment Grade (Treasury Rate-Hedged) Index |
3.4 |
% |
|||||
Barclays U.S. 3-7 Year Treasury Bond Index |
3.3 |
% |
|||||
S&P Merger Arbitrage Index |
3.1 |
% |
|||||
FTSE RAFI US 1000 Long/Short Total Return Index |
2.7 |
% |
|||||
DB Short Maturity Emerging Market Bond Index |
2.5 |
% |
|||||
Solactive� Diversified USD Covered Bond Index |
1.7 |
% |
� Financing Rates Associated with Derivatives: The performance of Funds that use derivatives was impacted by the related financing costs. Instruments such as futures carry implied financing costs. Forward and swap financing rates are negotiated between the Funds and the counterparties, and are typically set at the one-week/one-month London Interbank Offered Rate ("LIBOR") plus or minus a negotiated spread. The one-week LIBOR appreciated from 0.15% to 0.41% during the fiscal year. The one-month LIBOR also increased during the fiscal year from 0.18% to 0.47%. Each Fund with long exposure via derivatives was generally negatively affected by financing rates. Conversely, most Funds with short/inverse derivative exposure generally benefited from financing rates. However, in low interest rate environments, LIBOR adjusted by the spread may actually result in a Fund with short/inverse exposure also being negatively affected by financing rates.
� Stock Dividends and Bond Yields: The performance of Funds that provide long or leveraged long exposure was positively impacted by capturing the dividend, premium or income yield of the underlying assets to which they have exposure. The performance of Funds that provide inverse or leveraged inverse exposure was negatively impacted by virtue of effectively having to pay out the dividend, premium or income yield (or a multiple thereof, as applicable) associated with the assets to which they have short exposure.
� Fees, Expenses, and Transaction Costs: Fees and expenses are listed in the financial statements of each Fund and, with the exception of certain of the Matching and Active Funds, may generally be higher and thus have a more negative impact on performance than compared to many traditional index-based funds. For Geared Funds, daily repositioning of each Fund's portfolio to maintain exposure consistent with its investment objective, high levels of shareholder creation and redemption activity, and use of leverage may lead to commensurate increases in portfolio transactions and transaction costs which negatively impact the daily NAV of each Fund. Transaction costs are not reflected in the Funds' expense ratio. Transaction costs are generally higher for Funds whose indexes are more volatile, that seek to return a larger daily multiple of its index's return, that seek to return an inverse or inverse multiple of its index's return, that invest in foreign securities, and for Funds that hold or have exposure to assets that are comparatively less liquid than other Funds.
� Miscellaneous factors: Each Fund holds a mix of securities and/or derivatives that is designed to provide returns that seeks to achieve its investment objective. Certain Geared or Matching Funds may obtain exposure to only a representative sample of the securities of their index and may not have investment exposure to all securities of the index or may have weightings that are different from that of
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2016 :: V
its index. Certain Geared or Matching funds may also obtain exposure to securities not contained in the relevant Index or in financial instruments, with the intent of obtaining exposure with aggregate characteristics similar to those of a multiple of the Index.
In addition, certain Funds invested in swap agreements that were based on ETFs that are designed to track the performance of the Fund's index rather than swap agreements that were based on the
Fund's index. Because the closing price of an ETF may not perfectly track the performance of its index, there are deviations between the return of a swap whose reference asset is an ETF and the return of a swap based directly on the Fund's index. Thus, the performance of a Fund investing significantly in swap agreements based on an ETF may correlate less with its index than a Fund investing in swap agreements based directly on the Fund's index.
VI :: MAY 31, 2016 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ALTERNATIVE SOLUTIONS PROSHARES
ProShares Morningstar Alternatives Solution ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Morningstar� Diversified Alternatives IndexSM (the "Index"). For the year ended May 31, 2016, the Fund had a total return of �3.25%1. For the same period, the Index had a total return of �3.09%2 and a volatility of 6.41%. For the period, the Fund had an average daily volume of 10,785 shares.
The Fund takes positions in exchange-traded funds ("ETFs") that should have similar return characteristics as the Index. The Index is designed to provide diversified exposure to alternative asset classes in order to enhance risk adjusted portfolio returns when combined with a range of traditional investments. It allocates its assets among a comprehensive set of alternative ETFs, each of which is a ProShares ETF, that employ alternative and non-traditional strategies such as long/short, market neutral, managed futures, hedge fund replication, private equity, infrastructure or inflation-related investments.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Morningstar Alternatives Solution ETF from October 8, 2014 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (10/08/14) |
||||||||||
ProShares Morningstar
Alternatives Solution ETF |
-3.25 |
% |
-1.03 |
% |
|||||||
Morningstar Diversified Alternatives
Index |
-3.09 |
% |
-0.85 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Morningstar
Alternatives Solution ETF |
1.97 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Exchange Traded Funds |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
ProShares Merger ETF |
24.2 |
% |
|||||
ProShares Managed Futures Strategy ETF |
20.1 |
% |
|||||
ProShares RAFI Long/Short |
19.2 |
% |
|||||
ProShares Hedge Replication ETF |
15.5 |
% |
|||||
ProShares Global Listed
Private Equity ETF |
12.9 |
% |
Morningstar Diversified Alternatives Index � Composition
Strategy |
% of Index |
||||||
Long/Short |
24.2 |
% |
|||||
Managed Futures |
20.1 |
% |
|||||
Market Neutral |
19.2 |
% |
|||||
Hedge Fund Replication |
15.5 |
% |
|||||
Private Equity |
12.9 |
% |
|||||
Infrastructure |
5.9 |
% |
|||||
Inflation |
2.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MORNINGSTAR ALTERNATIVES SOLUTION ETF ALTS :: VII
SPECIALTY EQUITY PROSHARES
ProShares DJ Brookfield Global Infrastructure ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Dow Jones Brookfield Global Infrastructure Composite Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of �6.68%1. For the same period, the Index had a total return of �7.05%2 and a volatility of 17.18%. For the period, the Fund had an average daily volume of 6,572 shares.
The Fund takes positions in securities that should have similar return characteristics as the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, consists of companies domiciled globally that qualify as "pure-play" infrastructure companies � companies whose primary business is the ownership and operation of infrastructure assets, activities that generally generate long-term stable cash flows.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares DJ Brookfield Global Infrastructure ETF from March 25, 2014 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (3/25/14) |
||||||||||
ProShares DJ Brookfield
Global Infrastructure ETF |
-6.68 |
% |
2.25 |
% |
|||||||
Dow Jones Brookfield Global Infrastructure Composite Index |
-7.05 |
% |
2.00 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares DJ Brookfield
Global Infrastructure ETF |
1.22 |
% |
0.46 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
84 |
% |
|||||
Master Limited Partnerships |
14 |
% |
|||||
Investment Companies |
1 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
National Grid PLC |
7.8 |
% |
|||||
American Tower Corp. |
5.3 |
% |
|||||
Crown Castle
International Corp. |
3.6 |
% |
|||||
PG&E Corp. |
3.5 |
% |
|||||
Enbridge, Inc. |
3.4 |
% |
Dow Jones Brookfield Global Infrastructure Composite Index � Composition
% of Index |
|||||||
Oil & Gas Storage &
Transportation |
28.7 |
% |
|||||
Electricity Transmission & Distribution |
21.6 |
% |
|||||
Master Limited Partnerships |
14.4 |
% |
|||||
Communications |
12.0 |
% |
|||||
Toll Roads |
6.9 |
% |
|||||
Water |
6.5 |
% |
|||||
Airports |
5.4 |
% |
|||||
Diversified |
3.5 |
% |
|||||
Ports |
1.0 |
% |
Dow Jones Brookfield Global Infrastructure Composite Index � Country
% of Index |
|||||||
United States |
51.4 |
% |
|||||
United Kingdom |
11.7 |
% |
|||||
Canada |
10.1 |
% |
|||||
Other |
5.8 |
% |
|||||
Spain |
5.7 |
% |
|||||
Australia |
5.2 |
% |
|||||
Italy |
3.9 |
% |
|||||
China |
2.6 |
% |
|||||
France |
2.0 |
% |
|||||
Hong Kong |
1.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VIII :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Global Listed Private Equity ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the LPX Direct Listed Private Equity Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 1.57%1. For the same period, the Index had a total return of 2.38%2 and a volatility of 15.67%. For the period, the Fund had an average daily volume of 3,208 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, published by LPX GmbH ("LPX"), consists of up to 30 qualifying listed private equity companies. A listed private equity company is an eligible candidate for the Index if its direct private equity investments, as well as cash and cash equivalent positions and post-Initial Public Offering listed investments, represent more than 80% of the total assets of the company.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Global Listed Private Equity ETF from February 26, 2013 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/26/13) |
||||||||||
ProShares Global Listed
Private Equity ETF |
1.57 |
% |
7.20 |
% |
|||||||
LPX Direct Listed Private Equity Index |
2.38 |
% |
7.97 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Global Listed
Private Equity ETF |
4.31 |
% |
2.98 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
92 |
% |
|||||
Investment Companies |
6 |
% |
|||||
Master Limited Partnerships |
2 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
3 |
i Group PLC |
12.0 |
% |
||||
Onex Corp. |
9.8 |
% |
|||||
Ares Capital Corp. |
9.0 |
% |
|||||
American Capital Ltd. |
7.3 |
% |
|||||
Brait SE |
5.7 |
% |
LPX Direct Listed Private Equity
Index �
Country
% of Index |
|||||||
United States |
41.6 |
% |
|||||
United Kingdom |
23.8 |
% |
|||||
Canada |
9.9 |
% |
|||||
France |
9.8 |
% |
|||||
South Africa |
5.7 |
% |
|||||
Germany |
3.8 |
% |
|||||
Belgium |
2.4 |
% |
|||||
Sweden |
1.7 |
% |
|||||
Switzerland |
1.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: GLOBAL LISTED PRIVATE EQUITY ETF PEX :: IX
ProShares Large Cap Core Plus (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 130/30 Large Cap Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 2.38%1. For the same period, the Index had a total return of 2.87%2 and a volatility of 17.22%. For the period, the Fund had an average daily volume of 48,692 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should track the performance of the Index. The Index is designed to replicate an investment strategy that establishes either long or short positions in the stocks of 500 leading large-cap U.S. companies by applying a rules-based ranking and weighting methodology. The Index intends to provide a representation of a quantitatively constructed 130/30 U.S. large cap equity strategy. This results in the Index having total long exposure of 130% and total short exposure of 30% at each monthly reconstitution date.
During the year ended May 31, 2016, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Large Cap Core Plus from July 13, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (7/13/09) |
|||||||||||||
ProShares Large Cap
Core Plus |
2.38 |
% |
11.88 |
% |
15.88 |
% |
|||||||||
Credit Suisse 130/30 Large Cap Index |
2.87 |
% |
12.71 |
% |
16.85 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Large Cap Core Plus |
0.97 |
% |
0.45 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
94 |
% |
|||||
Swap Agreements (Long) |
36 |
% |
|||||
Swap Agreements (Short) |
(30 |
%) |
|||||
Net Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
1.9 |
% |
|||||
Microsoft Corp. |
1.4 |
% |
|||||
Exxon Mobil Corp. |
1.2 |
% |
|||||
Facebook, Inc., Class A |
1.2 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
1.1 |
% |
Credit Suisse 130/30 Large Cap
Index �
Composition
% of Index |
|||||||
Financials |
19.8 |
% |
|||||
Information Technology |
15.5 |
% |
|||||
Consumer Discretionary |
14.9 |
% |
|||||
Health Care |
12.3 |
% |
|||||
Industrials |
10.6 |
% |
|||||
Energy |
7.9 |
% |
|||||
Consumer Staples |
7.5 |
% |
|||||
Utilities |
5.3 |
% |
|||||
Materials |
4.3 |
% |
|||||
Telecommunication Services |
1.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
X :: CSM LARGE CAP CORE PLUS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
DIVIDEND GROWERS PROSHARES
ProShares S&P 500 Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P 500� Dividend Aristocrats� Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 7.64%1. For the same period, the Index had a total return of 8.17%2 and a volatility of 14.85%. For the period, the Fund had an average daily volume of 223,660 shares.
The Fund takes positions in equity securities that should track the performance of the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P 500� , have increased dividend payments each year for at least 25 years, and meet certain market capitalization and liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares S&P 500 Aristocrats ETF from October 9, 2013 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (10/09/13) |
||||||||||
ProShares S&P 500
Dividend Aristocrats ETF |
7.64 |
% |
13.24 |
% |
|||||||
S&P 500 Dividend Aristocrats Index |
8.17 |
% |
13.69 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P 500
Dividend Aristocrats ETF |
0.58 |
% |
0.35 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
S&P Global, Inc. |
2.2 |
% |
|||||
Archer-Daniels-Midland Co. |
2.2 |
% |
|||||
Cincinnati Financial Corp. |
2.1 |
% |
|||||
McCormick & Co., Inc. (Non-Voting) |
2.1 |
% |
|||||
C.R. Bard, Inc. |
2.1 |
% |
S&P 500 Dividend Aristocrats
Index �
Composition
% of Index |
|||||||
Consumer Staples |
26.4 |
% |
|||||
Industrials |
16.1 |
% |
|||||
Health Care |
13.9 |
% |
|||||
Financials |
12.1 |
% |
|||||
Consumer Discretionary |
11.8 |
% |
|||||
Materials |
9.7 |
% |
|||||
Energy |
4.0 |
% |
|||||
Telecommunication Services |
2.1 |
% |
|||||
Utilities |
2.0 |
% |
|||||
Information Technology |
1.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P 500 DIVIDEND ARISTOCRATS ETF NOBL :: XI
ProShares S&P MidCap 400 Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P MidCap 400� Dividend Aristocrats Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 13.81%1. For the same period, the Index had a total return of 14.13%2 and a volatility of 15.34%. For the period, the Fund had an average daily volume of 9,910 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P MidCap 400� Index and have increased dividend payments each year for at least 15 years. The Index includes all companies meeting these requirements with a minimum of 40 stocks, each of which is equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in S&P MidCap 400 Dividend Aristocrats ETF from February 3, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/03/15) |
||||||||||
ProShares S&P MidCap
400 Dividend Aristocrats ETF |
13.81 |
% |
11.18 |
% |
|||||||
S&P MidCap 400 Dividend Aristocrats Index |
14.13 |
% |
11.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P MidCap
400 Dividend Aristocrats ETF |
2.88 |
% |
0.40 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Albemarle Corp. |
2.5 |
% |
|||||
MDU Resources Group, Inc. |
2.5 |
% |
|||||
CDK Global, Inc. |
2.5 |
% |
|||||
Lancaster Colony Corp. |
2.3 |
% |
|||||
Nordson Corp. |
2.3 |
% |
S&P MidCap 400 Dividend Aristocrats Index � Composition
% of Index |
|||||||
Financials |
28.0 |
% |
|||||
Utilities |
20.0 |
% |
|||||
Industrials |
17.3 |
% |
|||||
Materials |
12.9 |
% |
|||||
Consumer Staples |
6.8 |
% |
|||||
Consumer Discretionary |
6.2 |
% |
|||||
Health Care |
4.3 |
% |
|||||
Information Technology |
2.5 |
% |
|||||
Telecommunication Services |
2.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XII :: REGL S&P MIDCAP 400 DIVIDEND ARISTOCRATS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Russell 2000 Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Russell 2000 Dividend Growth Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 15.71%1. For the same period, the Index had a total return of 16.22%2 and a volatility of 14.43%. For the period, the Fund had an average daily volume of 11,746 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by Russell Investments, targets companies that are currently members of the Russell 2000 Index, have increased dividend payments each year for at least 10 consecutive years, and are not in the bottom 20% of Russell 2000 Index liquidity based on 20 day average daily dollar trading volume. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Russell 2000 Dividend Growers ETF from February 3, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/03/15) |
||||||||||
ProShares Russell 2000
Dividend Growers ETF |
15.71 |
% |
10.76 |
% |
|||||||
Russell 2000 Dividend Growth Index |
16.22 |
% |
11.21 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Russell 2000
Dividend Growers ETF |
3.14 |
% |
0.40 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Raven Industries, Inc. |
2.2 |
% |
|||||
Andersons, Inc. (The) |
2.0 |
% |
|||||
Southside Bancshares, Inc. |
2.0 |
% |
|||||
Prosperity Bancshares, Inc. |
2.0 |
% |
|||||
Brady Corp., Class A |
2.0 |
% |
Russell 2000 Dividend Growth
Index �
Composition
% of Index |
|||||||
Utilities |
25.8 |
% |
|||||
Financials |
21.5 |
% |
|||||
Industrials |
20.5 |
% |
|||||
Consumer Staples |
14.4 |
% |
|||||
Health Care |
5.3 |
% |
|||||
Consumer Discretionary |
5.0 |
% |
|||||
Materials |
3.7 |
% |
|||||
Information Technology |
2.0 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: RUSSELL 2000 DIVIDEND GROWERS ETF SMDV :: XIII
ProShares MSCI EAFE Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the MSCI EAFE Dividend Masters Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of �7.23%1. For the same period, the Index had a total return of �6.77%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 8,188 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI EAFE Index and have increased dividend payments each year for at least 10 years. The Index contains a minimum of 40 stocks, which are equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight, and no single country is allowed to comprise more than 50% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI EAFE Dividend Growers ETF from August 19, 2014 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (8/19/14) |
||||||||||
ProShares MSCI EAFE
Dividend Growers ETF |
-7.23 |
% |
-4.55 |
% |
|||||||
MSCI EAFE Dividend Masters Index |
-6.77 |
% |
-3.96 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares MSCI EAFE
Dividend Growers ETF |
2.01 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Roche Holding AG |
1.9 |
% |
|||||
Novartis AG |
1.9 |
% |
|||||
ARM Holdings PLC |
1.9 |
% |
|||||
Prudential PLC |
1.9 |
% |
|||||
Sanofi |
1.9 |
% |
MSCI EAFE Dividend Masters
Index �
Composition
% of Index |
|||||||
Health Care |
25.9 |
% |
|||||
Consumer Staples |
17.9 |
% |
|||||
Industrials |
16.2 |
% |
|||||
Consumer Discretionary |
12.1 |
% |
|||||
Utilities |
9.2 |
% |
|||||
Financials |
7.6 |
% |
|||||
Materials |
7.3 |
% |
|||||
Energy |
2.0 |
% |
|||||
Information Technology |
1.8 |
% |
MSCI EAFE Dividend Masters
Index �
Country
% of Index |
|||||||
United Kingdom |
41.4 |
% |
|||||
Switzerland |
10.6 |
% |
|||||
Japan |
9.8 |
% |
|||||
Other |
9.0 |
% |
|||||
France |
7.0 |
% |
|||||
Spain |
5.6 |
% |
|||||
Australia |
5.6 |
% |
|||||
Denmark |
5.4 |
% |
|||||
Germany |
3.5 |
% |
|||||
New Zealand |
2.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XIV :: EFAD MSCI EAFE DIVIDEND GROWERS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares MSCI Europe Dividend Growers ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the MSCI Europe Dividend Masters Index (the "Index"). From inception on September 9, 2015 to May 31, 2016, the Fund had a total return of �2.22%1. For the same period, the Index had a total return of �1.83%2 and a volatility of 17.44%. For the period, the Fund had an average daily volume of 4,929 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI Europe Index and have increased dividend payments each year for at least 10 years. The Index contains a minimum of 25 stocks, which are equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight, and no single country is allowed to comprise more than 50% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI Europe Dividend Growers ETF from September 9, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (9/09/15) |
|||||||
ProShares MSCI Europe Dividend Growers ETF |
-2.22 |
% |
|||||
MSCI Europe Dividend Masters Index |
-1.83 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares MSCI Europe
Dividend Growers ETF |
0.98 |
% |
0.55 |
% |
**Reflects the expense ratio as reported in the Prospectus dated September 9, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Chocoladefabriken Lindt
& Spruengli AG, Class PC |
2.9 |
% |
|||||
Roche Holding AG |
2.2 |
% |
|||||
ARM Holdings PLC |
2.1 |
% |
|||||
Novartis AG |
2.1 |
% |
|||||
Prudential PLC |
2.1 |
% |
MSCI Europe Dividend Masters
Index �
Composition
% of Index |
|||||||
Health Care |
20.9 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer Staples |
18.5 |
% |
|||||
Consumer Discretionary |
13.8 |
% |
|||||
Financials |
8.6 |
% |
|||||
Materials |
8.4 |
% |
|||||
Utilities |
6.6 |
% |
|||||
Energy |
2.3 |
% |
|||||
Information Technology |
2.2 |
% |
MSCI Europe Dividend Masters
Index �
Country
% of Index |
|||||||
United Kingdom |
47.7 |
% |
|||||
Switzerland |
14.2 |
% |
|||||
France |
8.0 |
% |
|||||
Spain |
6.5 |
% |
|||||
Germany |
6.4 |
% |
|||||
Denmark |
6.3 |
% |
|||||
Netherlands |
4.3 |
% |
|||||
Norway |
2.2 |
% |
|||||
Belgium |
2.2 |
% |
|||||
Ireland |
2.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MSCI EUROPE DIVIDEND GROWERS ETF EUDV :: XV
ProShares MSCI Emerging Markets Dividend Growers ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the MSCI Emerging Markets Dividend Masters Index (the "Index"). From inception on January 25, 2016 to May 31, 2016, the Fund had a total return of 14.11%1. For the same period, the Index had a total return of 14.33%2 and a volatility of 17.53%. For the period, the Fund had an average daily volume of 2,387 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI Emerging Markets Index and have increased dividend payments each year for at least 7 years. The Index contains a minimum of 40 stocks, which are equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight, and no single country is allowed to comprise more than 50% of the Index's weight.
As the ProShares MSCI Emerging Markets Dividend Growers ETF does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares MSCI Emerging
Markets Dividend Growers ETF |
1.04 |
% |
0.60 |
% |
*Reflects the expense ratio as reported in the Prospectus dated January 21, 2016. Contractual fee waivers are in effect through September 30, 2017.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Larsen & Toubro Ltd. |
2.0 |
% |
|||||
Merida Industry Co. Ltd. |
1.9 |
% |
|||||
Tencent Holdings Ltd. |
1.9 |
% |
|||||
ITC Ltd. |
1.9 |
% |
|||||
Capitec Bank Holdings Ltd. |
1.9 |
% |
MSCI Emerging Markets Dividend Masters Index � Composition
% of Index |
|||||||
Financials |
29.8 |
% |
|||||
Consumer Staples |
14.7 |
% |
|||||
Information Technology |
14.2 |
% |
|||||
Consumer Discretionary |
11.3 |
% |
|||||
Utilities |
7.1 |
% |
|||||
Energy |
7.0 |
% |
|||||
Industrials |
6.1 |
% |
|||||
Materials |
4.9 |
% |
|||||
Health Care |
3.3 |
% |
|||||
Telecommunication Services |
1.6 |
% |
MSCI Emerging Markets Dividend Masters Index � Country
% of Index |
|||||||
China |
22.0 |
% |
|||||
India |
19.2 |
% |
|||||
South Africa |
14.7 |
% |
|||||
Taiwan |
8.7 |
% |
|||||
Colombia |
5.3 |
% |
|||||
Korea |
5.1 |
% |
|||||
Indonesia |
4.6 |
% |
|||||
Russia |
3.6 |
% |
|||||
Turkey |
3.5 |
% |
|||||
Thailand |
3.5 |
% |
|||||
Other |
9.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations. The Fund's Returns are based on net asset values calculated for shareholder transactions which are not reflective of adjustments required pursuant to Generally Accepted Accounting Principles (GAAP). Accordingly, differences may exist between this data and similar information reported in the financial statements.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVI :: EMDV MSCI EMERGING MARKETS DIVIDEND GROWERS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
S&P 500 EX-SECTOR PROSHARES
ProShares S&P 500� Ex-Energy ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500� Ex- Energy Index (the "Index"). From inception on September 22, 2015 to May 31, 2016, the Fund had a total return of 9.28%1. For the same period, the Index had a total return of 9.54%2 and a volatility of 15.27%. For the period, the Fund had an average daily volume of 3,787 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index seeks to provide exposure to the companies of the S&P 500� Index (the "S&P 500�") with the exception of those companies included in the Energy Sector. The S&P 500� is a measure of large-cap U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500� Ex-Energy ETF from September 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (9/22/15) |
|||||||
ProShares S&P 500� Ex-Energy ETF |
9.28 |
% |
|||||
S&P 500� Ex-Energy Index |
9.54 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P 500� Ex-Energy ETF |
0.27 |
% |
0.27 |
% |
**Reflects the expense ratio as reported in the Prospectus dated September 17, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
3.3 |
% |
|||||
Microsoft Corp. |
2.5 |
% |
|||||
Johnson & Johnson |
1.8 |
% |
|||||
General Electric Co. |
1.7 |
% |
|||||
Amazon.com, Inc. |
1.6 |
% |
S&P 500 Ex-Energy Index � Composition
% of Index |
|||||||
Information Technology |
21.9 |
% |
|||||
Financials |
17.5 |
% |
|||||
Health Care |
15.8 |
% |
|||||
Consumer Discretionary |
13.5 |
% |
|||||
Consumer Staples |
10.9 |
% |
|||||
Industrials |
10.8 |
% |
|||||
Utilities |
3.6 |
% |
|||||
Materials |
3.1 |
% |
|||||
Telecommunication Services |
2.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P 500� EX-ENERGY ETF SPXE :: XVII
ProShares S&P 500� Ex-Financials ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500� Ex-Financials Index (the "Index"). From inception on September 22, 2015 to May 31, 2016, the Fund had a total return of 10.00%1. For the same period, the Index had a total return of 10.27%2 and a volatility of 15.15%. For the period, the Fund had an average daily volume of 2,860 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index seeks to provide exposure to the companies of the S&P 500� Index (the "S&P 500�") with the exception of those companies included in the Financials Sector. The S&P 500� is a measure of large-cap U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500� Ex-Financials ETF from September 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (9/22/15) |
|||||||
ProShares S&P 500� Ex-Financials ETF |
10.00 |
% |
|||||
S&P 500� Ex-Financials Index |
10.27 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P 500�
Ex-Financials ETF |
0.27 |
% |
0.27 |
% |
**Reflects the expense ratio as reported in the Prospectus dated September 17, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
3.6 |
% |
|||||
Microsoft Corp. |
2.7 |
% |
|||||
Exxon Mobil Corp. |
2.4 |
% |
|||||
Johnson & Johnson |
2.0 |
% |
|||||
General Electric Co. |
1.8 |
% |
S&P 500 Ex-Financials
Index �
Composition
% of Index |
|||||||
Information Technology |
24.3 |
% |
|||||
Health Care |
17.6 |
% |
|||||
Consumer Discretionary |
15.0 |
% |
|||||
Consumer Staples |
12.0 |
% |
|||||
Industrials |
12.0 |
% |
|||||
Energy |
8.5 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Materials |
3.4 |
% |
|||||
Telecommunication Services |
3.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVIII :: SPXN S&P 500� EX-FINANCIALS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares S&P 500� Ex-Health Care ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500� Ex-Health Care Index (the "Index"). From inception on September 22, 2015 to May 31, 2016, the Fund had a total return of 10.45%1. For the same period, the Index had a total return of 10.72%2 and a volatility of 15.83%. For the period, the Fund had an average daily volume of 3,339 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index seeks to provide exposure to the companies of the S&P 500� Index (the "S&P 500�") with the exception of those companies included in the Health Care Sector. The S&P 500� is a measure of large-cap U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500� Ex-Health Care ETF from September 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (9/22/15) |
|||||||
ProShares S&P 500� Ex-Health Care ETF |
10.45 |
% |
|||||
S&P 500� Ex-Health Care Index |
10.72 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P 500�
Ex-Health Care ETF |
0.27 |
% |
0.27 |
% |
**Reflects the expense ratio as reported in the Prospectus dated September 17, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
3.5 |
% |
|||||
Microsoft Corp. |
2.7 |
% |
|||||
Exxon Mobil Corp. |
2.4 |
% |
|||||
General Electric Co. |
1.8 |
% |
|||||
Amazon.com, Inc. |
1.8 |
% |
S&P 500 Ex-Health Care
Index �
Composition
% of Index |
|||||||
Information Technology |
23.9 |
% |
|||||
Financials |
19.1 |
% |
|||||
Consumer Discretionary |
14.7 |
% |
|||||
Consumer Staples |
11.8 |
% |
|||||
Industrials |
11.8 |
% |
|||||
Energy |
8.4 |
% |
|||||
Utilities |
3.9 |
% |
|||||
Materials |
3.3 |
% |
|||||
Telecommunication Services |
3.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P 500� EX-HEALTH CARE ETF SPXV :: XIX
ProShares S&P 500� Ex-Technology ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500� Ex-Information Technology & Telecommunication Services Index (the "Index"). From inception on September 22, 2015 to May 31, 2016, the Fund had a total return of 8.54%1. For the same period, the Index had a total return of 8.81%2 and a volatility of 15.43%. For the period, the Fund had an average daily volume of 2,228 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index seeks to provide exposure to the companies of the S&P 500� Index (the "S&P 500�") with the exception of those companies included in the Information Technology & Telecommunication Services Sectors. The S&P 500� is a measure of large-cap U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500� Ex-Technology ETF from September 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (9/22/15) |
|||||||
ProShares S&P 500� Ex-Technology ETF |
8.54 |
% |
|||||
S&P 500� Ex-Information Technology &
Telecommunication Services Index |
8.81 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P 500�
Ex-Technology ETF |
0.27 |
% |
0.27 |
% |
**Reflects the expense ratio as reported in the Prospectus dated September 17, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
2.6 |
% |
|||||
Johnson & Johnson |
2.2 |
% |
|||||
General Electric Co. |
2.0 |
% |
|||||
Amazon.com, Inc. |
2.0 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
1.9 |
% |
S&P 500 Ex-Information Technology &
Telecommunication Services
Index � Composition
% of Index |
|||||||
Financials |
21.2 |
% |
|||||
Health Care |
19.1 |
% |
|||||
Consumer Discretionary |
16.3 |
% |
|||||
Consumer Staples |
13.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Energy |
9.3 |
% |
|||||
Utilities |
4.3 |
% |
|||||
Materials |
3.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XX :: SPXT S&P 500� EX-TECHNOLOGY ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
CURRENCY HEDGED PROSHARES
ProShares Hedged FTSE Europe ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the FTSE Developed Europe 100% Hedged to USD Index� (the "Index"). From inception on June 23, 2015 to May 31, 2016, the Fund had a total return of �7.47%1. For the same period, the Index had a total return of �7.30%2 and a volatility of 21.01%. For the period, the Fund had an average daily volume of 7,918 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index is a free float-adjusted market cap weighted index comprised of those European stocks that comprise approximately the top 90% of the market capitalization of the European stock market, screened for liquidity.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Hedged FTSE Europe ETF from June 23, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/23/15) |
|||||||
ProShares Hedged FTSE Europe ETF |
-7.47 |
% |
|||||
FTSE Developed Europe 100% Hedged to USD Index |
-7.30 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Hedged FTSE
Europe ETF |
0.27 |
% |
0.27 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
96 |
% |
|||||
Forward Currency Contracts |
(97 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Nestle S.A. |
2.8 |
% |
|||||
Roche Holding AG |
2.3 |
% |
|||||
Novartis AG |
2.1 |
% |
|||||
HSBC Holdings PLC |
1.6 |
% |
|||||
British American Tobacco PLC |
1.4 |
% |
FTSE Developed Europe 100% Hedged to USD Index � Composition
% of Index |
|||||||
Financials |
21.1 |
% |
|||||
Consumer Staples |
15.3 |
% |
|||||
Health Care |
13.7 |
% |
|||||
Industrials |
12.1 |
% |
|||||
Consumer Discretionary |
11.5 |
% |
|||||
Materials |
7.1 |
% |
|||||
Energy |
6.3 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
4.1 |
% |
|||||
Information Technology |
4.1 |
% |
FTSE Developed Europe 100% Hedged to USD Index � Country
% of Index |
|||||||
United Kingdom |
31.4 |
% |
|||||
France |
14.6 |
% |
|||||
Switzerland |
13.9 |
% |
|||||
Germany |
13.8 |
% |
|||||
Spain |
4.9 |
% |
|||||
Netherlands |
4.8 |
% |
|||||
Sweden |
4.4 |
% |
|||||
Italy |
3.4 |
% |
|||||
Others |
3.4 |
% |
|||||
Denmark |
3.1 |
% |
|||||
Belgium/Luxembourg |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: HEDGED FTSE EUROPE ETF HGEU :: XXI
ProShares Hedged FTSE Japan ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the FTSE Japan 100% Hedged to USD Index� (the "Index"). From inception on June 23, 2015 to May 31, 2016, the Fund had a total return of �18.16%1. For the same period, the Index had a total return of �17.88%2 and a volatility of 28.80%. For the period, the Fund had an average daily volume of 8,221 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index is a free float-adjusted market cap weighted index comprised of those Japanese stocks that comprise approximately the top 90% of the market capitalization of the Japanese stock market, screened for liquidity.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Hedged FTSE Japan ETF from June 23, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/23/15) |
|||||||
ProShares Hedged FTSE Japan ETF |
-18.16 |
% |
|||||
FTSE Japan 100% Hedged to USD Index |
-17.88 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Hedged FTSE
Japan ETF |
0.23 |
% |
0.23 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
96 |
% |
|||||
Forward Currency Contracts |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Toyota Motor Corp. |
4.5 |
% |
|||||
Mitsubishi UFJ Financial Group, Inc. |
2.2 |
% |
|||||
KDDI Corp. |
1.7 |
% |
|||||
SoftBank Group Corp. |
1.6 |
% |
|||||
Honda Motor Co. Ltd. |
1.6 |
% |
FTSE Japan 100% Hedged to
USD Index �
Composition
% of Index |
|||||||
Consumer Discretionary |
20.6 |
% |
|||||
Industrials |
20.5 |
% |
|||||
Financials |
16.4 |
% |
|||||
Information Technology |
10.0 |
% |
|||||
Consumer Staples |
9.1 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
6.2 |
% |
|||||
Telecommunication Services |
5.3 |
% |
|||||
Utilities |
2.3 |
% |
|||||
Energy |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXII :: HGJP HEDGED FTSE JAPAN ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
INTEREST RATE HEDGED BOND PROSHARES
ProShares High Yield-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi High Yield (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of �6.79%1. For the same period, the Index had a total return of �5.35%2 and a volatility of 10.37%. For the period, the Fund had an average daily volume of 12,374 shares.
The Fund takes positions in debt securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index is comprised of (a) long positions in USD-denominated high yield corporate bonds and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the high yield bonds. Currently, the bonds eligible for inclusion in the Index include high yield bonds that are issued by companies domiciled in the U.S. and Canada, and that: are fixed-rate (including callable bonds); have a maximum rating of Ba1/BB+ by either Moody's Investors Service, Inc or Standard and Poor's Financial Services, LLC; and are subject to minimum issue outstanding, minimum time-to-maturity and maximum-time from issuance criteria.
During the year ended May 31, 2016, the Fund invested in futures contracts as a substitute for taking short positions in Treasury Securities. These derivatives generally tracked the performance of their underlying index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares High Yield-Interest Rate Hedged from May 21, 2013 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (5/21/13) |
||||||||||
ProShares High
Yield-Interest Rate Hedged |
-6.79 |
% |
-1.81 |
% |
|||||||
Citi High Yield (Treasury Rate-Hedged) Index |
-5.35 |
% |
-0.56 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares High
Yield-Interest Rate Hedged |
0.81 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
High Yield Bonds |
96 |
% |
|||||
U.S. Treasury Notes Futures Contracts |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
CCO Holdings LLC/CCO
Holdings Capital Corp., 5.75%, due 02/15/26 |
2.1 |
% |
|||||
Sprint Corp., 7.88%, due 09/15/23 |
1.8 |
% |
|||||
Dollar Tree, Inc.,
5.75%, due 03/01/23 |
1.7 |
% |
|||||
Sabine Pass Liquefaction LLC, 5.75%, due 05/15/24 |
1.7 |
% |
|||||
DaVita HealthCare
Partners, Inc., 5.13%, due 07/15/24 |
1.6 |
% |
Citi High Yield (Treasury Rate-Hedged) Index � Composition
% of High Yield Bonds |
|||||||
Industrials |
83.2 |
% |
|||||
Utilities |
11.9 |
% |
|||||
Financials |
4.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: HIGH YIELD�INTEREST RATE HEDGED HYHG :: XXIII
ProShares Investment Grade-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi Corporate Investment Grade (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of �0.48%1. For the same period, the Index had a total return of �0.32%2 and a volatility of 3.44%. For the period, the Fund had an average daily volume of 16,729 shares.
The Fund takes positions in debt securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index is comprised of (a) long positions in USD-denominated investment grade corporate bonds issued by both U.S. and foreign domiciled companies; and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the investment grade bonds.
During the year ended May 31, 2016, the Fund invested in futures contracts as a substitute for taking short positions in Treasury Securities. These derivatives generally tracked the performance of their underlying index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Investment Grade-Interest Rate Hedged from November 5, 2013 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (11/05/13) |
||||||||||
ProShares Investment
Grade-Interest Rate Hedged |
-0.48 |
% |
0.12 |
% |
|||||||
Citi Corporate Investment Grade (Treasury Rate-Hedged) Index |
-0.32 |
% |
0.60 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Investment
Grade-Interest Rate Hedged |
0.63 |
% |
0.30 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
96 |
% |
|||||
Futures Contracts |
(96 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Goldman Sachs
Group, Inc. (The), 6.13%, due 02/15/33 |
1.7 |
% |
|||||
Wells Fargo & Co., 3.00%, due 02/19/25 |
1.3 |
% |
|||||
Morgan Stanley,
5.00%, due 11/24/25 |
1.3 |
% |
|||||
Oracle Corp., 6.13%, due 07/08/39 |
1.3 |
% |
|||||
HSBC Holdings PLC,
6.80%, due 06/01/38 |
1.2 |
% |
Citi Corporate Investment Grade (Treasury Rate-Hedged) Index � Composition
% of Investment Grade Bonds |
|||||||
Industrials |
57.8 |
% |
|||||
Financials |
33.0 |
% |
|||||
Utilities |
9.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXIV :: IGHG INVESTMENT GRADE�INTEREST RATE HEDGED :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
GLOBAL FIXED INCOME PROSHARES
ProShares USD Covered Bond (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive� Diversified USD Covered Bond Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 1.35%1. For the same period, the Index had a total return of 1.82%2 and a volatility of 1.68%. For the period, the Fund had an average daily volume of 366 shares.
The Fund takes positions in debt securities that should have similar return characteristics as the Index. The Index, published by Solactive AG, seeks to track the performance of U.S. dollar-denominated Covered Bonds that are generally rated "AAA" (or its equivalent). Specifically, the Index aims to include the universe of U.S. dollar-denominated fixed-rate Covered Bonds that conform to the eligibility criteria for the Index. The Covered Bonds must be denominated in USD, have a fixed-rate coupon, have at least 18 months to maturity, have USD 1 billion or more of outstanding face amount and a minimum denomination no greater than $250,000, be either registered with the Securities and Exchange Commission or eligible for resale under Rule 144A under the Securities Act of 1933, and satisfy the liquidity criteria applicable to the Index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares USD Covered Bond from May 21, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (5/21/12) |
||||||||||
ProShares USD Covered Bond |
1.35 |
% |
1.50 |
% |
|||||||
Solactive Diversified USD Covered Bond Index |
1.82 |
% |
1.96 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares USD Covered Bond |
2.53 |
% |
0.35 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Covered Bonds |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Westpac Banking Corp.,
1.85%, due 11/26/18 |
6.7 |
% |
|||||
Royal Bank of Canada, 1.88%, due 02/05/20 |
5.8 |
% |
|||||
Westpac Banking Corp.,
2.10%, due 02/25/21 |
5.5 |
% |
|||||
Westpac Banking Corp., 2.00%, due 03/03/20 |
5.3 |
% |
|||||
Royal Bank of Canada,
2.00%, due 10/01/18 |
5.0 |
% |
Solactive Diversified USD Covered Bond Index � Country
% of Index |
|||||||
Australia |
36.8 |
% |
|||||
Canada |
32.5 |
% |
|||||
Sweden |
10.9 |
% |
|||||
Norway |
9.0 |
% |
|||||
Netherlands |
4.7 |
% |
|||||
Germany |
3.1 |
% |
|||||
France |
3.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the net asset value ("NAV") of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: USD COVERED BOND COBO :: XXV
ProShares German Sovereign/Sub-Sovereign ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 3.37%1. For the same period, the Index had a total return of 3.84%2 and a volatility of 10.81%. For the period, the Fund had an average daily volume of 35,711 shares.
The Fund takes positions in debt securities that should have similar return characteristics as the Index. The Index, published by Markit Group Limited, seeks to track the performance of fixed rate debt securities of the Federal Republic of Germany ("Sovereign") as well as local governments and entities or agencies guaranteed by various German governments ("Sub-Sovereign") issuers. Qualifying constituents must be rated "Investment Grade" or higher (based on an average of ratings issued by Moody's Investor Services, Inc., Standard & Poor's Ratings Services and/or Fitch, Inc., have a minimum principal outstanding of 2 billion euros (or its equivalent) for Sovereign securities and 1 billion euros (or its equivalent) for Sub-Sovereign securities, and have a minimum remaining time to maturity of at least 18 months at the time the Index is rebalanced.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares German Sovereign/Sub-Sovereign ETF from January 24, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (1/24/12) |
||||||||||
ProShares German
Sovereign/Sub-Sovereign ETF |
3.37 |
% |
-0.86 |
% |
|||||||
Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index |
3.84 |
% |
-0.29 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares German
Sovereign/Sub-Sovereign ETF |
3.49 |
% |
0.45 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
96 |
% |
|||||
Total Exposure |
96 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Bundesrepublik Deutschland,
0.50%, due 02/15/25 |
5.0 |
% |
|||||
KFW, 0.13%, due 06/01/20 |
4.9 |
% |
|||||
Bundesrepublik Deutschland,
1.75%, due 07/04/22 |
4.8 |
% |
|||||
KFW, 0.00%, due 12/07/18 |
4.8 |
% |
|||||
Bundesrepublik Deutschland,
1.00%, due 08/15/25 |
4.8 |
% |
Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index � Composition
% of Index |
|||||||
Sub-Sovereigns |
76.0 |
% |
|||||
Sovereigns |
24.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVI :: GGOV GERMAN SOVEREIGN/SUB-SOVEREIGN ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Term USD Emerging Markets Bond ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the DB Short Maturity Emerging Market Bond Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 6.77%1. For the same period, the Index had a total return of 6.95%2 and a volatility of 2.47%. For the period, the Fund had an average daily volume of 1,108 shares.
The Fund takes positions in debt securities that should have similar return characteristics as the Index. The Index is comprised of a diversified portfolio of USD-denominated Emerging Market bonds that have less than five years remaining to maturity that are issued by Emerging Market sovereign governments, non-sovereign government agencies and entities, and corporations with significant government ownership.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Term USD Emerging Markets Bond ETF from November 19, 2013 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (11/19/13) |
||||||||||
ProShares Short Term USD
Emerging Markets Bond ETF |
6.77 |
%** |
3.50 |
%** |
|||||||
DB Short Maturity Emerging Market Bond Index |
6.95 |
% |
3.54 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares Short Term USD
Emerging Markets Bond ETF |
1.77 |
% |
0.50 |
% |
**The Fund's Average Annual Total Returns are based on net asset values calculated for shareholder transactions which are not reflective of adjustments required pursuant to Generally Accepted Accounting Principles (GAAP). Accordingly, differences may exist between this data and similar information reported in the financial statements.
***Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
94 |
% |
|||||
Total Exposure |
94 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Ukraine Government
International Bond, 7.75%, due 09/01/20 |
6.9 |
% |
|||||
Hazine Mustesarligi Varlik Kiralama AS, 4.56%, due 10/10/18 |
6.2 |
% |
|||||
SoQ Sukuk A Q.S.C,
2.10%, due 01/18/18 |
5.3 |
% |
|||||
Indonesia Government International Bond, 6.88%, due 01/17/18 |
4.6 |
% |
|||||
Korea International Bond,
7.13%, due 04/16/19 |
4.5 |
% |
DB Short Maturity Emerging Market Bond Index � Country
% of Index |
|||||||
Others |
21.9 |
% |
|||||
Ukraine |
11.7 |
% |
|||||
Brazil |
10.0 |
% |
|||||
Mexico |
9.5 |
% |
|||||
Turkey |
9.3 |
% |
|||||
Russian Federation |
9.0 |
% |
|||||
Indonesia |
7.8 |
% |
|||||
Korea, Republic of |
7.6 |
% |
|||||
Qatar |
5.4 |
% |
|||||
Kazakhstan |
4.4 |
% |
|||||
Colombia |
3.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT TERM USD EMERGING MARKETS BOND ETF EMSH :: XXVII
HEDGE STRATEGIES PROSHARES
ProShares Hedge Replication ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Merrill Lynch Factor Model � Exchange Series (the "Benchmark"). For the year ended May 31, 2016, the Fund had a total return of �3.06%1. For the same period, the Benchmark had a total return of �2.15%2 and a volatility of 5.02%. For the period, the Fund had an average daily volume of 7,514 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Benchmark. The Benchmark, established by Merrill Lynch International, seeks to provide the risk and return characteristics of the hedge fund asset class by targeting a high correlation to the HFRI Fund Weighted Composite Index (the "HFRI"). The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2000 constituent funds. In seeking to maintain a high correlation with the HFRI, the Benchmark utilizes a synthetic model to establish, each month, weighted long or short (or, in certain cases, long or flat) positions in six underlying factors ("Factors"). The Factors that comprise the Benchmark are (1) the S&P 500 Total Return Index, (2) the MSCI EAFE US Dollar Net Total Return Index, (3) the MSCI Emerging Markets US Dollar Net Total Return Index, (4) the Russell 2000 Total Return Index, (5) three-month U.S. Treasury Bills, and (6) the ProShares UltraShort Euro ETF.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts as a substitute for investing directly in or taking short positions in the Factors of the Benchmark. These derivatives generally tracked the performance of the underlying benchmark and the Fund was generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Hedge Replication ETF from July 12, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (7/12/11) |
||||||||||
ProShares Hedge Replication ETF |
-3.06 |
% |
1.04 |
% |
|||||||
Merrill Lynch Factor Model � Exchange Series Benchmark |
-2.15 |
% |
1.99 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Hedge Replication ETF |
2.06 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
10 |
% |
|||||
U.S. Treasury Bill |
70 |
% |
|||||
Swap Agreements (Long) |
21 |
% |
|||||
Short Euro Futures Contracts |
(9 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
0.1 |
% |
|||||
Microsoft Corp. |
0.1 |
% |
|||||
Exxon Mobil Corp. |
0.1 |
% |
|||||
Johnson & Johnson |
0.1 |
% |
|||||
General Electric Co. |
0.1 |
% |
Merrill Lynch Factor Model � Exchange Series � Composition
% of Benchmark |
|||||||
Three-month U.S.
Treasury Bills |
64.6 |
% |
|||||
MSCI EAFE US Dollar Net Total Return Index |
13.5 |
% |
|||||
Russell 2000� Total
Return Index |
8.2 |
% |
|||||
MSCI Emerging Markets US Dollar Net Total Return Index |
5.9 |
% |
|||||
Proshares UltraShort
Euro ETF |
4.2 |
% |
|||||
S&P 500� Total Return Index |
3.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Benchmark. The impact of transaction costs and the deduction of expenses associated with an exchange-traded fund such as investment management and accounting fees are not reflected in the Benchmark calculation. It is not possible to invest directly in the Benchmark.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVIII :: HDG HEDGE REPLICATION ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Manged Futures Strategy ETF (the "Fund") seeks to achieve positive returns that are not directly correlated to broad equity or fixed income markets. This actively managed Fund uses the S&P� Strategic Futures Index as a performance benchmark (the "Benchmark"). From inception on February 17, 2016 to May 31, 2016, the Fund had a total return of �0.57%1. For the same period, the Benchmark had a total return of �0.31%2 and a volatility of 4.32%. For the period, the Fund had an average daily volume of 5,339 shares.
The Fund takes positions in a portfolio of commodity futures contracts ("Commodity Futures Contracts") and currency and U.S. Treasury futures contracts ("Financial Futures Contracts") (collectively, "Futures Contracts"). The Fund attempts to capture the economic benefit derived from rising and declining trends based on the price changes of these Futures Contracts. The Fund will not invest directly in Commodity Futures Contracts. The Fund expects to gain exposure to these investments by investing a portion of its assets in the ProShares Cayman Portfolio I, a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the "Subsidiary"). The Subsidiary is advised by ProShare Advisors, the Fund's investment advisor. The Benchmark seeks to capture the economic benefit from trends (in either direction) in the commodity, foreign currency and fixed income markets by taking long or short positions in related futures contracts. The Fund is not an index tracking exchange-traded fund.
As the ProShares Managed Futures Strategy ETF does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares Managed Futures Strategy ETF |
0.75 |
% |
0.75 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 12, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Commodity Futures
Contracts (Long) |
33 |
% |
|||||
Commodity Futures Contracts (Short) |
(9 |
%) |
|||||
Currency Futures
Contracts (Long) |
30 |
% |
|||||
U.S. Treasury Notes Futures Contracts (Long) |
11 |
% |
|||||
U.S. Treasury Bonds
Futures Contracts (Long) |
19 |
% |
|||||
Total Exposure |
84 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P Strategic Futures Index � Composition
Commodities Holdings |
% of Benchmark |
||||||
Cotton |
4.2 |
% |
|||||
Soybeans |
3.4 |
% |
|||||
Cocoa |
3.1 |
% |
|||||
Corn |
3.1 |
% |
|||||
Gold |
3.0 |
% |
|||||
Sugar |
2.7 |
% |
|||||
Lean Hogs |
2.7 |
% |
|||||
Copper |
2.3 |
% |
|||||
Wheat |
2.3 |
% |
|||||
Silver |
1.5 |
% |
|||||
Unleaded Gas |
1.5 |
% |
|||||
Heating Oil |
1.3 |
% |
|||||
Crude Oil |
1.2 |
% |
|||||
Natural Gas |
(1.9 |
%) |
|||||
Coffee |
(2.1 |
%) |
|||||
Live Cattle |
(5.1 |
%) |
Currency Exposure |
% of Benchmark |
||||||
Japanese Yen |
7.0 |
% |
|||||
Swiss Franc |
5.2 |
% |
|||||
British Pound |
4.7 |
% |
|||||
Canadian Dollar |
4.5 |
% |
|||||
Euro |
4.4 |
% |
|||||
Australian Dollar |
3.2 |
% |
|||||
Fixed Income Holdings |
% of Benchmark |
||||||
10 Year Note |
10.6 |
% |
|||||
30 Year Bond |
19.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The total return reflect the returns and interest earned on hypothetical fully collateralized contract positions on the commodities included in the Benchmark (S&P SFI). The impact of transaction costs and the deduction of expenses associated with an exchange-traded fund such as investment management and accounting fees are not reflected in the Benchmark calculation. It is not possible to invest directly in the Benchmark.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MANAGED FUTURES STRATEGY ETF FUT :: XXIX
ProShares Merger ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P Merger Arbitrage Index (the "Index"). For the year ended May 31, 2016, the Fund had a total return of 0.54%1. For the same period, the Index had a total return of 1.78%2 and a volatility of 3.08%. For the period, the Fund had an average daily volume of 4,252 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index, created by Standard & Poor's�, provides exposure to up to 40 publicly announced mergers, acquisitions and/or other corporate reorganizations (the "Deals") within developed market countries through a combination of long and, in certain cases, short security positions. The Index also includes a Treasury bill component which constitutes the remainder of the Index when net exposure from included Deals is less than 100%.
During the year ended May 31, 2016, the Fund invested in swap agreements and forward currency contracts as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Merger ETF from December 11, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (12/11/12) |
||||||||||
ProShares Merger ETF |
0.54 |
% |
-1.46 |
% |
|||||||
S&P Merger Arbitrage Index |
1.78 |
% |
-0.02 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Merger ETF |
4.94 |
% |
0.75 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
U.S. Treasury Bill |
� |
||||||
Swap Agreements (Long) |
23 |
% |
|||||
Swap Agreements (Short) |
(29 |
%) |
|||||
Forward Currency Contracts |
(23 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
FirstMerit Corp. |
3.0 |
% |
|||||
Integrated Device Technology, Inc. |
2.8 |
% |
|||||
Memorial Resource
Development Corp. |
2.8 |
% |
|||||
KLA-Tencor Corp. |
2.7 |
% |
|||||
ITC Holdings Corp. |
2.7 |
% |
S&P Merger Arbitrage Index � Composition
% of Index |
|||||||
Information Technology |
26.2 |
% |
|||||
Financials |
17.3 |
% |
|||||
Industrials |
12.4 |
% |
|||||
Energy |
9.2 |
% |
|||||
Health Care |
9.1 |
% |
|||||
Materials |
8.4 |
% |
|||||
Utilities |
7.5 |
% |
|||||
Consumer Discretionary |
5.8 |
% |
|||||
Telecommunication Services |
4.1 |
% |
Regional Exposure
% of Index |
|||||||
United States |
76.0 |
% |
|||||
Australia |
3.9 |
% |
|||||
Italy |
3.2 |
% |
|||||
New Zealand |
3.2 |
% |
|||||
Singapore |
3.1 |
% |
|||||
Sweden |
3.1 |
% |
|||||
Netherlands |
3.0 |
% |
|||||
Spain |
3.0 |
% |
|||||
Switzerland |
2.8 |
% |
|||||
Canada |
(1.3 |
%) |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXX :: MRGR MERGER ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares RAFI� Long/Short (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FTSE RAFI US 1000 Long/Short Total Return Index (the "Index")**. For the year ended May 31, 2016, the Fund had a total return of �2.70%1. For the same period, the Index had a total return of �0.44%2 and a volatility of 2.71%. For the period, the Fund had an average daily volume of 12,610 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index allocates an equal dollar amount to both long and short equity positions each time that the Index rebalances. The long equity positions consist of the FTSE RAFI US 1000 Total Return Index, and the short equity positions consist of the Russell 1000 Total Return Index. By going long a fundamental index and short a market cap index, the Index seeks to capitalize on a theory that traditional index weighting based on market capitalization results in overweighting of overpriced securities and underweighting of underpriced securities.
During the year ended May 31, 2016, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of the underlying index and the Fund was generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares RAFI� Long/Short from December 2, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (12/02/10) |
|||||||||||||
ProShares RAFI�
Long/Short |
-2.70 |
% |
0.21 |
% |
0.85 |
% |
|||||||||
RAFI US Equity Long/Short Index**,*** |
-0.23 |
% |
1.68 |
% |
2.33 |
% |
|||||||||
FTSE RAFI US 1000
Long/Short Total Return Index** |
-0.44 |
% |
-0.03 |
% |
0.11 |
% |
Expense Ratios****
Fund |
Gross |
Net |
|||||||||
ProShares RAFI� Long/Short |
1.34 |
% |
0.95 |
% |
**As of March 1, 2016, the Fund's underlying index changed from RAFI US Equity Long/Short Index to FTSE RAFI US 1000 Long/Short Total Return Index. This change was made in order to match the Fund's underlying index to its Investment Objective.
***Total returns are as of March 18, 2016 due to retirement of the Index.
****Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2017.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
96 |
% |
|||||
Swap Agreements (Long) |
6 |
% |
|||||
Swap Agreements (Short) |
(102 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
2.8 |
% |
|||||
Chevron Corp. |
2.0 |
% |
|||||
JPMorgan Chase & Co. |
1.7 |
% |
|||||
AT&T, Inc. |
1.7 |
% |
|||||
Apple, Inc. |
1.5 |
% |
FTSE RAFI US 1000 Long/Short
Total Return Index �
Composition
% of Index |
|||||||
Financials |
19.5 |
% |
|||||
Information Technology |
16.2 |
% |
|||||
Health Care |
12.1 |
% |
|||||
Consumer Discretionary |
11.8 |
% |
|||||
Industrials |
10.4 |
% |
|||||
Energy |
10.2 |
% |
|||||
Consumer Staples |
9.1 |
% |
|||||
Utilities |
4.1 |
% |
|||||
Materials |
3.7 |
% |
|||||
Telecommunication Services |
2.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: RAFI� LONG/SHORT RALS :: XXXI
INFLATION PROSHARES
ProShares Inflation Expectations ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi 30-Year TIPS (Treasury Rate-Hedged) Index (the "Index")**. For the year ended May 31, 2016, the Fund had a total return of �9.60%1. For the same period, the Index had a total return of �6.48%2 and a volatility of 16.38%. For the period, the Fund had an average daily volume of 25,709 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities ("TIPS") and duration-adjusted short positions in U.S. Treasury bonds of, in aggregate, approximate equivalent duration to the TIPS. The Index seeks to achieve an overall effective duration of zero.
During the year ended May 31, 2016, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the fixed income securities underlying the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Inflation Expectations ETF from January 10, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (1/10/12) |
||||||||||
ProShares Inflation Expectations ETF |
-9.60 |
% |
-7.01 |
% |
|||||||
Credit Suisse 30-Year Inflation Breakeven Index** |
-9.17 |
% |
-5.96 |
% |
|||||||
Citi 30-Year TIPS (Treasury
Rate-Hedged) Index** |
-6.48 |
% |
-2.20 |
%*** |
Expense Ratios****
Fund |
Gross |
Net |
|||||||||
ProShares Inflation Expectations ETF |
3.96 |
% |
0.75 |
% |
**As of April 18, 2016, the Fund's underlying index changed from Credit Suisse 30-Year Inflation Breakeven Index to Citi 30-Year TIPS (Treasury Rate-Hedged) Index. The change was made in order to match the Fund's underlying index to its Investment Objective.
***Annualized total return from January 31, 2012 to May 31, 2016.
****Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2017.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
84 |
% |
|||||
Swap Agreements (Long) |
16 |
% |
|||||
Swap Agreements (Long exposure to inverse index) |
(113 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Citi 30-Year TIPS (Treasury Rate-Hedged) Index � Composition
% of Index |
|||||||
30-Year Treasury
Inflation-Protected Securities (TIPS) Bond |
100.0 |
% |
|||||
30-Year U.S. Treasury Bond |
(113.2 |
%) |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXII :: RINF INFLATION EXPECTATIONS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
CREDIT PROSHARES
ProShares CDS Short North American HY Credit ETF (the "Fund") seeks to provide inverse exposure to the credit of North American high yield debt issuers. This actively managed Fund seeks to achieve its investment objective primarily through investing in a portfolio of credit derivatives whose underlying reference entities are North American high yield (i.e., below investment grade or "junk bond") debt issuers. For the year ended May 31, 2016, the Fund had a total return of �3.73%1. For the same period, the Markit CDX North American High Yield Index had a total return of 2.48%2 and a volatility of 6.80%. For the period, the Fund had an average daily volume of 1,041 shares.
The Fund takes positions in centrally cleared, index-based credit default swaps ("CDS") that, in combination, should have economic characteristics that correlate to the inverse of North American high yield credit market. The Fund sought greater relative liquidity by only holding the most recent on-the-run (most recently issued series) and the first off-the-run (second most recently issued series) of high yield CDS.
During the year ended May 31, 2016, credit spreads (i.e., the level of additional yield that is paid on corporate bonds as compared to Treasury securities) widened from 3.33% at the start of the period to a high point of 6.52% in February, 2016, before tightening through the end of the year to end at 4.61%. The Fund was negatively impacted by this tightening during the latter part of the period and benefited from two credit event � the bankruptcies of Sabine and Peabody, that occurred during the period.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares CDS Short North American High Yield ETF from August 5, 2014 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (8/05/14) |
||||||||||
ProShares CDS Short North
American HY Credit ETF |
-3.73 |
% |
-4.47 |
% |
|||||||
Markit CDX North American High Yield Index |
2.48 |
% |
3.40 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares CDS Short North
American HY Credit ETF |
1.45 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Credit Default Swap ("CDS") Agreements |
(98 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Industry Exposure
% of Market
Exposure (CDS) |
|||||||
Consumer Discretionary |
24.0 |
% |
|||||
Financials |
15.0 |
% |
|||||
Communications |
14.0 |
% |
|||||
Materials |
11.0 |
% |
|||||
Energy |
10.0 |
% |
|||||
Technology |
6.0 |
% |
|||||
Health Care |
6.0 |
% |
|||||
Consumer Staples |
5.0 |
% |
|||||
Utilities |
5.0 |
% |
|||||
Industrials |
4.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: CDS SHORT NORTH AMERICAN HY CREDIT ETF WYDE :: XXXIII
GEARED PROSHARES
ProShares Short S&P500� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the S&P 500� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �4.78%1. For the same period, the Index had a total return of 1.72%2 and a volatility of 16.65%. For the period, the Fund had an average daily volume of 6,308,405 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short S&P500� from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short S&P500� |
-4.78 |
% |
-13.15 |
% |
-9.95 |
% |
|||||||||
S&P 500 |
1.72 |
% |
11.65 |
% |
7.69 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short S&P500� |
0.90 |
% |
0.90 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(92 |
%) |
|||||
Futures Contracts |
(8 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 � Composition
% of Index |
|||||||
Information Technology |
20.4 |
% |
|||||
Financials |
16.3 |
% |
|||||
Health Care |
14.7 |
% |
|||||
Consumer Discretionary |
12.6 |
% |
|||||
Consumer Staples |
10.1 |
% |
|||||
Industrials |
10.0 |
% |
|||||
Energy |
7.1 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Materials |
2.8 |
% |
|||||
Telecommunication Services |
2.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXIV :: SH SHORT S&P500� :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short QQQ� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the NASDAQ-100 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016 the Fund had a total return of �5.86%1. For the same period, the Index had a total return of 1.67%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 537,842 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short QQQ� from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short QQQ� |
-5.86 |
% |
-16.50 |
% |
-14.52 |
% |
|||||||||
NASDAQ-100 Index |
1.67 |
% |
15.23 |
% |
12.43 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short QQQ� |
1.06 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(92 |
%) |
|||||
Futures Contracts |
(8 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index � Composition
% of Index |
|||||||
Information Technology |
56.1 |
% |
|||||
Consumer Discretionary |
21.1 |
% |
|||||
Health Care |
12.8 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Industrials |
1.9 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT QQQ� PSQ :: XXXV
ProShares Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �4.33%1. For the same period, the Index had a total return of 1.39%2 and a volatility of 16.18%. For the period, the Fund had an average daily volume of 917,116 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Dow30SM from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short
Dow30SM |
-4.33 |
% |
-11.59 |
% |
-9.54 |
% |
|||||||||
Dow Jones Industrial Average |
1.39 |
% |
9.95 |
% |
7.79 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Dow30SM |
1.00 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(93 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average � Composition
% of Index |
|||||||
Industrials |
19.1 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Consumer Discretionary |
15.7 |
% |
|||||
Financials |
15.6 |
% |
|||||
Health Care |
13.0 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
7.3 |
% |
|||||
Materials |
2.5 |
% |
|||||
Telecommunication Services |
2.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVI :: DOG SHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the S&P MidCap 400� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �3.15%1. For the same period, the Index had a total return of �0.42%2 and a volatility of 17.10%. For the period, the Fund had an average daily volume of 50,898 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MidCap400 from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short
MidCap400 |
-3.15 |
% |
-12.82 |
% |
-12.36 |
% |
|||||||||
S&P MidCap 400 |
-0.42 |
% |
9.99 |
% |
9.09 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short MidCap400 |
1.08 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(94 |
%) |
|||||
Futures Contracts |
(6 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 � Composition
% of Index |
|||||||
Financials |
26.7 |
% |
|||||
Information Technology |
16.8 |
% |
|||||
Industrials |
14.5 |
% |
|||||
Consumer Discretionary |
11.6 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer Staples |
4.4 |
% |
|||||
Energy |
3.6 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT MIDCAP400 MYY :: XXXVII
ProShares Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Russell 2000� Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 1.23%1. For the same period, the Index had a total return of �5.97%2 and a volatility of 19.22%. For the period, the Fund had an average daily volume of 739,425 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000� Index or approximately 10% of the total market capitalization of the Russell 3000� Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Russell2000 from January 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Short
Russell2000 |
1.23 |
% |
-12.56 |
% |
-12.24 |
% |
|||||||||
Russell 2000 Index |
-5.97 |
% |
7.85 |
% |
5.65 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Russell2000 |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(93 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index � Composition
% of Index |
|||||||
Financials |
26.5 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Health Care |
14.3 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Materials |
4.1 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Consumer Staples |
3.5 |
% |
|||||
Energy |
2.8 |
% |
|||||
Telecommunication Services |
0.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVIII :: RWM SHORT RUSSELL2000 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the S&P SmallCap 600� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �4.61%1. For the same period, the Index had a total return of 0.39%2 and a volatility of 18.08%. For the period, the Fund had an average daily volume of 1,772 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short SmallCap600 from January 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Short
SmallCap600 |
-4.61 |
% |
-14.20 |
% |
-12.84 |
% |
|||||||||
S&P SmallCap 600 |
0.39 |
% |
10.65 |
% |
7.57 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short SmallCap600 |
1.63 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 � Composition
% of Index |
|||||||
Financials |
23.3 |
% |
|||||
Industrials |
18.1 |
% |
|||||
Information Technology |
15.7 |
% |
|||||
Consumer Discretionary |
14.0 |
% |
|||||
Health Care |
12.5 |
% |
|||||
Materials |
5.2 |
% |
|||||
Utilities |
4.4 |
% |
|||||
Energy |
2.8 |
% |
|||||
Consumer Staples |
2.8 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT SMALLCAP600 SBB :: XXXIX
ProShares UltraShort S&P500� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the S&P 500� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �11.13%1. For the same period, the Index had a total return of 1.72%2 and a volatility of 16.65%. For the period, the Fund had an average daily volume of 12,930,348 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort S&P500� from July 11, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort
S&P500� |
-11.13 |
% |
-25.82 |
% |
-22.31 |
% |
|||||||||
S&P 500 |
1.72 |
% |
11.65 |
% |
7.45 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort S&P500� |
0.91 |
% |
0.91 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(188 |
%) |
|||||
Futures Contracts |
(12 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 � Composition
% of Index |
|||||||
Information Technology |
20.4 |
% |
|||||
Financials |
16.3 |
% |
|||||
Health Care |
14.7 |
% |
|||||
Consumer Discretionary |
12.6 |
% |
|||||
Consumer Staples |
10.1 |
% |
|||||
Industrials |
10.0 |
% |
|||||
Energy |
7.1 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Materials |
2.8 |
% |
|||||
Telecommunication Services |
2.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XL :: SDS ULTRASHORT S&P500� :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort QQQ� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the NASDAQ-100 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �14.09%1. For the same period, the Index had a total return of 1.67%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 3,987,617 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort QQQ� from July 11, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort QQQ� |
-14.09 |
% |
-31.81 |
% |
-31.01 |
% |
|||||||||
NASDAQ-100 Index |
1.67 |
% |
15.23 |
% |
12.63 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort QQQ� |
1.04 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(193 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index � Composition
% of Index |
|||||||
Information Technology |
56.1 |
% |
|||||
Consumer Discretionary |
21.1 |
% |
|||||
Health Care |
12.8 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Industrials |
1.9 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT QQQ� QID :: XLI
ProShares UltraShort Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �10.10%1. For the same period, the Index had a total return of 1.39%2 and a volatility of 16.18%. For the period, the Fund had an average daily volume of 1,493,748 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Dow30SM from July 11, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort
Dow30SM |
-10.10 |
% |
-22.92 |
% |
-21.28 |
% |
|||||||||
Dow Jones Industrial Average |
1.39 |
% |
9.95 |
% |
7.64 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Dow30SM |
1.01 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(197 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average � Composition
% of Index |
|||||||
Industrials |
19.1 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Consumer Discretionary |
15.7 |
% |
|||||
Financials |
15.6 |
% |
|||||
Health Care |
13.0 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
7.3 |
% |
|||||
Materials |
2.5 |
% |
|||||
Telecommunication Services |
2.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLII :: DXD ULTRASHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the S&P MidCap 400� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �8.22%1. For the same period, the Index had a total return of �0.42%2 and a volatility of 17.10%. For the period, the Fund had an average daily volume of 8,815 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort MidCap400 from July 11, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort
MidCap400 |
-8.22 |
% |
-25.87 |
% |
-27.10 |
% |
|||||||||
S&P MidCap 400 |
-0.42 |
% |
9.99 |
% |
8.74 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MidCap400 |
1.83 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(189 |
%) |
|||||
Futures Contracts |
(11 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 � Composition
% of Index |
|||||||
Financials |
26.7 |
% |
|||||
Information Technology |
16.8 |
% |
|||||
Industrials |
14.5 |
% |
|||||
Consumer Discretionary |
11.6 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer Staples |
4.4 |
% |
|||||
Energy |
3.6 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MIDCAP400 MZZ :: XLIII
ProShares UltraShort Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Russell 2000� Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �0.48%1. For the same period, the Index had a total return of �5.97%2 and a volatility of 19.22%. For the period, the Fund had an average daily volume of 1,495,263 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000� Index or approximately 10% of the total market capitalization of the Russell 3000� Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Russell2000 from January 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares UltraShort
Russell2000 |
-0.48 |
% |
-26.22 |
% |
-28.42 |
% |
|||||||||
Russell 2000 Index |
-5.97 |
% |
7.85 |
% |
5.65 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Russell2000 |
1.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(196 |
%) |
|||||
Futures Contracts |
(4 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index � Composition
% of Index |
|||||||
Financials |
26.5 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Health Care |
14.3 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Materials |
4.1 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Consumer Staples |
3.5 |
% |
|||||
Energy |
2.8 |
% |
|||||
Telecommunication Services |
0.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLIV :: TWM ULTRASHORT RUSSELL2000 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the S&P SmallCap 600� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �11.34%1. For the same period, the Index had a total return of 0.39%2 and a volatility of 18.08%. For the period, the Fund had an average daily volume of 1,006 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort SmallCap600 from January 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares UltraShort
SmallCap600 |
-11.34 |
% |
-28.81 |
% |
-28.88 |
% |
|||||||||
S&P SmallCap 600 |
0.39 |
% |
10.65 |
% |
7.57 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort SmallCap600 |
2.44 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 � Composition
% of Index |
|||||||
Financials |
23.3 |
% |
|||||
Industrials |
18.1 |
% |
|||||
Information Technology |
15.7 |
% |
|||||
Consumer Discretionary |
14.0 |
% |
|||||
Health Care |
12.5 |
% |
|||||
Materials |
5.2 |
% |
|||||
Utilities |
4.4 |
% |
|||||
Energy |
2.8 |
% |
|||||
Consumer Staples |
2.8 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT SMALLCAP600 SDD :: XLV
ProShares UltraPro Short S&P500� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the S&P 500� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �19.37%1. For the same period, the Index had a total return of 1.72%2 and a volatility of 16.65%. For the period, the Fund had an average daily volume of 6,360,868 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short S&P500� from June 23, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/23/09) |
|||||||||||||
ProShares UltraPro
Short S&P500� |
-19.37 |
% |
-38.23 |
% |
-44.51 |
% |
|||||||||
S&P 500 |
1.72 |
% |
11.65 |
% |
15.46 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short S&P500� |
0.93 |
% |
0.93 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(289 |
%) |
|||||
Futures Contracts |
(11 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 � Composition
% of Index |
|||||||
Information Technology |
20.4 |
% |
|||||
Financials |
16.3 |
% |
|||||
Health Care |
14.7 |
% |
|||||
Consumer Discretionary |
12.6 |
% |
|||||
Consumer Staples |
10.1 |
% |
|||||
Industrials |
10.0 |
% |
|||||
Energy |
7.1 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Materials |
2.8 |
% |
|||||
Telecommunication Services |
2.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVI :: SPXU ULTRAPRO SHORT S&P500� :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short QQQ� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the NASDAQ-100 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �24.63%1. For the same period, the Index had a total return of 1.67%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 8,293,473 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short QQQ� from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short QQQ� |
-24.63 |
% |
-46.00 |
% |
-49.37 |
% |
|||||||||
NASDAQ-100 Index |
1.67 |
% |
15.23 |
% |
17.58 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short QQQ� |
1.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(290 |
%) |
|||||
Futures Contracts |
(10 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index � Composition
% of Index |
|||||||
Information Technology |
56.1 |
% |
|||||
Consumer Discretionary |
21.1 |
% |
|||||
Health Care |
12.8 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Industrials |
1.9 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT QQQ� SQQQ :: XLVII
ProShares UltraPro Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �17.91%1. For the same period, the Index had a total return of 1.39%2 and a volatility of 16.18%. For the period, the Fund had an average daily volume of 1,715,333 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Dow30SM from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short Dow30SM |
-17.91 |
% |
-34.18 |
% |
-38.31 |
% |
|||||||||
Dow Jones Industrial Average |
1.39 |
% |
9.95 |
% |
12.32 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short Dow30SM |
1.04 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(288 |
%) |
|||||
Futures Contracts |
(12 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average � Composition
% of Index |
|||||||
Industrials |
19.1 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Consumer Discretionary |
15.7 |
% |
|||||
Financials |
15.6 |
% |
|||||
Health Care |
13.0 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
7.3 |
% |
|||||
Materials |
2.5 |
% |
|||||
Telecommunication Services |
2.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVIII :: SDOW ULTRAPRO SHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the S&P MidCap 400� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �15.66%1. For the same period, the Index had a total return of �0.42%2 and a volatility of 17.10%. For the period, the Fund had an average daily volume of 10,977 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short MidCap400 from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short MidCap400 |
-15.66 |
% |
-39.14 |
% |
-46.27 |
% |
|||||||||
S&P MidCap 400 |
-0.42 |
% |
9.99 |
% |
14.43 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short MidCap400 |
2.19 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(286 |
%) |
|||||
Futures Contracts |
(14 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 � Composition
% of Index |
|||||||
Financials |
26.7 |
% |
|||||
Information Technology |
16.8 |
% |
|||||
Industrials |
14.5 |
% |
|||||
Consumer Discretionary |
11.6 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer Staples |
4.4 |
% |
|||||
Energy |
3.6 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT MIDCAP400 SMDD :: XLIX
ProShares UltraPro Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the Russell 2000� Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.80%1. For the same period, the Index had a total return of �5.97%2 and a volatility of 19.22%. For the period, the Fund had an average daily volume of 943,439 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000� Index or approximately 10% of the total market capitalization of the Russell 3000� Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Russell2000 from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short Russell2000 |
-5.80 |
% |
-40.49 |
% |
-48.50 |
% |
|||||||||
Russell 2000 Index |
-5.97 |
% |
7.85 |
% |
12.60 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short Russell2000 |
1.12 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(298 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index � Composition
% of Index |
|||||||
Financials |
26.5 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Health Care |
14.3 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Materials |
4.1 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Consumer Staples |
3.5 |
% |
|||||
Energy |
2.8 |
% |
|||||
Telecommunication Services |
0.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
L :: SRTY ULTRAPRO SHORT RUSSELL2000 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 1.53%1. For the same period, the Index had a total return of �6.85%2 and a volatility of 22.05%. For the period, the Fund had an average daily volume of 7,374 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Basic Materials from March 16, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (3/16/10) |
|||||||||||||
ProShares Short
Basic Materials |
1.53 |
% |
-6.78 |
% |
-10.61 |
% |
|||||||||
Dow Jones U.S. Basic Materials Index |
-6.85 |
% |
1.38 |
% |
5.39 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Basic Materials |
8.08 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index � Composition
% of Index |
|||||||
Chemicals |
82.3 |
% |
|||||
Metals & Mining |
16.3 |
% |
|||||
Paper & Forest Products |
0.7 |
% |
|||||
Oil, Gas & Consumable Fuels |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT BASIC MATERIALS SBM :: LI
ProShares Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �4.60%1. For the same period, the Index had a total return of 0.35%2 and a volatility of 19.15%. For the period, the Fund had an average daily volume of 38,542 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Financials from June 10, 2008 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/10/08) |
|||||||||||||
ProShares Short
Financials |
-4.60 |
% |
-14.32 |
% |
-16.16 |
% |
|||||||||
Dow Jones U.S. Financials Index |
0.35 |
% |
11.11 |
% |
4.00 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Financials |
1.35 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index � Composition
% of Index |
|||||||
Banks |
30.0 |
% |
|||||
Diversified Financials |
24.9 |
% |
|||||
Real Estate |
22.5 |
% |
|||||
Insurance |
16.1 |
% |
|||||
Software & Services |
6.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LII :: SEF SHORT FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 4.58%1. For the same period, the Index had a total return of �12.55%2 and a volatility of 28.66%. For the period, the Fund had an average daily volume of 15,554 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Oil & Gas from June 10, 2008 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/10/08) |
|||||||||||||
ProShares Short Oil & Gas |
4.58 |
% |
-5.16 |
% |
-8.09 |
% |
|||||||||
Dow Jones U.S. Oil & Gas Index |
-12.55 |
% |
-0.87 |
% |
-1.27 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Oil & Gas |
4.32 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index � Composition
% of Index |
|||||||
Oil, Gas & Consumable Fuels |
83.0 |
% |
|||||
Energy Equipment & Services |
16.2 |
% |
|||||
Electric Utilities |
0.4 |
% |
|||||
Semiconductors & Semiconductor |
0.3 |
% |
|||||
Electrical Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT OIL & GAS DDG :: LIII
ProShares Short Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �11.65%1. For the same period, the Index had a total return of 9.15%2 and a volatility of 17.16%. For the period, the Fund had an average daily volume of 55,109 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITs"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Real Estate from March 16, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (3/16/10) |
|||||||||||||
ProShares Short Real Estate |
-11.65 |
% |
-12.32 |
% |
-15.15 |
% |
|||||||||
Dow Jones U.S. Real Estate Index |
9.15 |
% |
9.24 |
% |
12.26 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Real Estate |
1.23 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index � Composition
% of Index |
|||||||
Real Estate Investment Trusts |
97.1 |
% |
|||||
Real Estate Management & Devel |
2.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LIV :: REK SHORT REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short S&P Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the S&P Regional Banks Select Industry IndexSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �8.05%1. For the same period, the Index had a total return of 1.30%2 and a volatility of 24.83%. For the period, the Fund had an average daily volume of 1,233 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is an equal-weighted index (as adjusted to ensure adequate liquidity) that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts while meeting minimum market capitalization and liquidity conditions. Component companies include, among others, leading regional banks or thrifts listed on a U.S. exchange.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short S&P Regional Banking from April 20, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through April 15, 2015 reflects the performance of the KBW Regional Banking Index. Index performance beginning on April 16, 2015 reflects the performance of the S&P Regional Banks Select Industry Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/20/10) |
|||||||||||||
ProShares Short
S&P Regional Banking |
-8.05 |
% |
-16.78 |
% |
-14.44 |
% |
|||||||||
S&P Regional Banks Select Industry Index |
1.30 |
% |
11.65 |
% |
8.24 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short S&P
Regional Banking |
7.33 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P Regional Banks Select Industry Index � Composition
% of Index |
|||||||
Regional Banks |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT S&P REGIONAL BANKING KRS :: LV
ProShares UltraShort Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �1.02%1. For the same period, the Index had a total return of �6.85%2 and a volatility of 22.05%. For the period, the Fund had an average daily volume of 28,261 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Basic Materials from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort Basic
Materials |
-1.02 |
% |
-16.51 |
% |
-30.75 |
% |
|||||||||
Dow Jones U.S. Basic Materials Index |
-6.85 |
% |
1.38 |
% |
4.74 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Basic Materials |
1.61 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index � Composition
% of Index |
|||||||
Chemicals |
82.3 |
% |
|||||
Metals & Mining |
16.3 |
% |
|||||
Paper & Forest Products |
0.7 |
% |
|||||
Oil, Gas & Consumable Fuels |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVI :: SMN ULTRASHORT BASIC MATERIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the NASDAQ Biotechnology Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 21.55%1. For the same period, the Index had a total return of �23.19%2 and a volatility of 32.61%. For the period, the Fund had an average daily volume of 669,920 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Nasdaq Biotechnology from April 7, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/07/10) |
|||||||||||||
ProShares UltraShort
Nasdaq Biotechnology |
21.55 |
% |
-45.03 |
% |
-43.44 |
% |
|||||||||
NASDAQ Biotechnology Index |
-23.19 |
% |
21.14 |
% |
20.35 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Nasdaq Biotechnology |
1.15 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index � Composition
% of Index |
|||||||
Biotechnology |
80.7 |
% |
|||||
Pharmaceuticals |
12.4 |
% |
|||||
Life Sciences Tools & Services |
6.8 |
% |
|||||
Health Care Equipment & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: LVII
ProShares UltraShort Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �21.05%1. For the same period, the Index had a total return of 8.46%2 and a volatility of 14.79%. For the period, the Fund had an average daily volume of 4,053 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Goods from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Consumer Goods |
-21.05 |
% |
-26.15 |
% |
-22.68 |
% |
|||||||||
Dow Jones U.S. Consumer Goods Index |
8.46 |
% |
12.60 |
% |
9.66 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Consumer Goods |
4.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index � Composition
% of Index |
|||||||
Food Beverage & Tobacco |
51.1 |
% |
|||||
Household & Personal Products |
18.0 |
% |
|||||
Consumer Durables & Apparel |
14.5 |
% |
|||||
Automobiles & Components |
10.6 |
% |
|||||
Software & Services |
2.2 |
% |
|||||
Capital Goods |
1.8 |
% |
|||||
Retailing |
1.3 |
% |
|||||
Diversified Financials |
0.3 |
% |
|||||
Commercial & Professional Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVIII :: SZK ULTRASHORT CONSUMER GOODS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �12.43%1. For the same period, the Index had a total return of 2.03%2 and a volatility of 16.72%. For the period, the Fund had an average daily volume of 1,960 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Services from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Consumer Services |
-12.43 |
% |
-32.34 |
% |
-27.05 |
% |
|||||||||
Dow Jones U.S. Consumer Services Index |
2.03 |
% |
16.23 |
% |
9.85 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Consumer Services |
2.41 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index � Composition
% of Index |
|||||||
Retailing |
37.3 |
% |
|||||
Media |
23.2 |
% |
|||||
Consumer Services |
15.4 |
% |
|||||
Food & Staples Retailing |
15.1 |
% |
|||||
Transportation |
4.1 |
% |
|||||
Health Care Equipment & Services |
3.1 |
% |
|||||
Commercial & Professional Services |
1.6 |
% |
|||||
Software & Services |
0.1 |
% |
|||||
Technology Hardware & Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT CONSUMER SERVICES SCC :: LIX
ProShares UltraShort Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �11.38%1. For the same period, the Index had a total return of 0.35%2 and a volatility of 19.15%. For the period, the Fund had an average daily volume of 47,725 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Financials from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Financials |
-11.38 |
% |
-28.91 |
% |
-29.32 |
% |
|||||||||
Dow Jones U.S. Financials Index |
0.35 |
% |
11.11 |
% |
-0.86 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Financials |
1.13 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index � Composition
% of Index |
|||||||
Banks |
30.0 |
% |
|||||
Diversified Financials |
24.9 |
% |
|||||
Real Estate |
22.5 |
% |
|||||
Insurance |
16.1 |
% |
|||||
Software & Services |
6.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LX :: SKF ULTRASHORT FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Gold Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the NYSE Arca Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �67.66%1. For the same period, the Index had a total return of 16.91%2 and a volatility of 45.17%. For the period, the Fund had an average daily volume of 20,274 shares and an average daily statistical correlation of over 0.99 to the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a modified market-capitalization weighted index primarily comprised of publicly traded companies involved in the mining of gold and silver. The weight of companies whose revenues are more significantly exposed to silver mining will not exceed 20% of the Index at the time of the Index's rebalance.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Gold Miners from February 12, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/12/15) |
||||||||||
ProShares UltraShort Gold Miners |
-67.66 |
% |
-56.57 |
% |
|||||||
NYSE Arca Gold Miners Index |
16.91 |
% |
6.65 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Gold Miners |
3.61 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NYSE Arca Gold Miners Index � Composition
% of Index |
|||||||
Gold |
91.5 |
% |
|||||
Silver |
7.3 |
% |
|||||
Diversified Metals & Mining |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT GOLD MINERS GDXS :: LXI
ProShares UltraShort Junior Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Market Vectors Global Junior Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �76.62%1. For the same period, the Index had a total return of 32.24%2 and a volatility of 43.87%. For the period, the Fund had an average daily volume of 4,158 shares and an average daily statistical correlation of over 0.99 to the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes companies that generate at least 50% of their revenues from (or, in certain circumstances, have at least 50% of their assets related to) gold mining and/or silver mining or have mining projects with the potential to generate at least 50% of their revenues from gold and/or silver when developed. The weight of companies determined to be "silver" stocks will not exceed 20% of the Index at any quarterly rebalance. Between rebalances, however, the weight may exceed 20% due to market appreciation. Such companies may include micro- and small-capitalization companies and foreign issuers.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Junior Miners from February 12, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/12/15) |
||||||||||
ProShares UltraShort Junior Miners |
-76.62 |
% |
-69.43 |
% |
|||||||
Market Vectors Global Junior Gold Miners Index |
32.24 |
% |
21.00 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Junior Miners |
4.19 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Market Vectors Global Junior Gold Miners Index � Composition
% of Index |
|||||||
Gold |
71.8 |
% |
|||||
Silver |
25.0 |
% |
|||||
Diversified Metals & Mining |
2.5 |
% |
|||||
Precious Metals & Minerals |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXII :: GDJS ULTRASHORT JUNIOR MINERS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �2.95%1. For the same period, the Index had a total return of �4.69%2 and a volatility of 19.88%. For the period, the Fund had an average daily volume of 1,996 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Health Care from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Health Care |
-2.95 |
% |
-32.98 |
% |
-25.42 |
% |
|||||||||
Dow Jones U.S. Health Care Index |
-4.69 |
% |
16.77 |
% |
10.80 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Health Care |
4.39 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index � Composition
% of Index |
|||||||
Pharmaceuticals |
37.0 |
% |
|||||
Biotechnology |
25.0 |
% |
|||||
Health Care Equipment & Supplies |
17.7 |
% |
|||||
Health Care Providers & Services |
16.1 |
% |
|||||
Life Sciences Tools & Services |
4.1 |
% |
|||||
Commercial Services & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT HEALTH CARE RXD :: LXIII
ProShares UltraShort Homebuilder & Supplies (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Select Home Construction Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on June 22, 2015 to May 31, 2016, the Fund had a total return of �16.72%1. For the same period, the Index had a total return of 0.48%2 and a volatility of 24.22%. For the period, the Fund had an average daily volume of 2,380 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the home construction sector of the U.S. equity market. The Index includes companies that are constructors of residential homes, including manufacturers of mobile and prefabricated homes, as well as producers, sellers and suppliers of building materials, furnishings and fixtures. The companies selected for inclusion in the Index must meet minimum market capitalization and liquidity requirements and have a majority of revenues sourced from residential home construction and remodel related business activities.
During the period, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Homebuilder & Supplies from June 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/22/15) |
|||||||
ProShares UltraShort Homebuilders & Supplies |
-16.72 |
% |
|||||
Dow Jones U.S. Select Home Construction Index |
0.48 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Homebuilders & Supplies |
1.15 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Select Home Construction Index � Composition
% of Index |
|||||||
Consumer Discretionary |
76.4 |
% |
|||||
Industrials |
18.6 |
% |
|||||
Materials |
5.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXIV :: HBZ ULTRASHORT HOMEBUILDER & SUPPLIES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �14.70%1. For the same period, the Index had a total return of 3.11%2 and a volatility of 17.23%. For the period, the Fund had an average daily volume of 5,154 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Industrials from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Industrials |
-14.70 |
% |
-27.47 |
% |
-26.50 |
% |
|||||||||
Dow Jones U.S. Industrials Index |
3.11 |
% |
11.15 |
% |
7.75 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Industrials |
3.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index � Composition
% of Index |
|||||||
Capital Goods |
58.7 |
% |
|||||
Software & Services |
13.2 |
% |
|||||
Transportation |
11.4 |
% |
|||||
Materials |
6.1 |
% |
|||||
Commercial & Professional Services |
5.3 |
% |
|||||
Technology Hardware & Equipment |
3.9 |
% |
|||||
Pharmaceuticals, Biotechnology |
1.2 |
% |
|||||
Utilities |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT INDUSTRIALS SIJ :: LXV
ProShares UltraShort Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 1.41%1. For the same period, the Index had a total return of �12.55%2 and a volatility of 28.66%. For the period, the Fund had an average daily volume of 179,684 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Oil & Gas from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Oil & Gas |
1.41 |
% |
-14.10 |
% |
-27.72 |
% |
|||||||||
Dow Jones U.S. Oil & Gas Index |
-12.55 |
% |
-0.87 |
% |
3.20 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Oil & Gas |
1.14 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index � Composition
% of Index |
|||||||
Oil, Gas & Consumable Fuels |
83.0 |
% |
|||||
Energy Equipment & Services |
16.2 |
% |
|||||
Electric Utilities |
0.4 |
% |
|||||
Semiconductors & Semiconductor |
0.3 |
% |
|||||
Electrical Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVI :: DUG ULTRASHORT OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Oil & Gas Exploration & Production (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the S&P Oil & Gas Exploration & Production Select Industry Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on June 22, 2015 to May 31, 2016, the Fund had a total return of �8.21%1. For the same period, the Index had a total return of �25.52%2 and a volatility of 46.98%. For the period, the Fund had an average daily volume of 3,271 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is equally weighted (as adjusted for diversification and liquidity) and includes domestic companies from the oil and gas exploration and production sub-industry.
During the period, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Oil & Gas Exploration & Production from June 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/22/15) |
|||||||
ProShares UltraShort Oil
& Gas Exploration & Production |
-8.21 |
% |
|||||
S&P Oil & Gas Exploration & Production
Select Industry Index |
-25.52 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Oil
& Gas Exploration & Production |
1.16 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P Oil & Gas Exploration &
Production
Select Industry Index � Composition
% of Index |
|||||||
Oil & Gas Exploration & Production |
81.4 |
% |
|||||
Oil & Gas Refining & Marketing |
13.0 |
% |
|||||
Integrated Oil & Gas |
5.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT OIL & GAS EXPLORATION & PRODUCTION SOP :: LXVII
ProShares UltraShort Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �23.67%1. For the same period, the Index had a total return of 9.15%2 and a volatility of 17.16%. For the period, the Fund had an average daily volume of 82,902 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITs"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Real Estate from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Real Estate |
-23.67 |
% |
-25.12 |
% |
-38.87 |
% |
|||||||||
Dow Jones U.S. Real Estate Index |
9.15 |
% |
9.24 |
% |
3.15 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Real Estate |
1.32 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index � Composition
% of Index |
|||||||
Real Estate Investment Trusts |
97.1 |
% |
|||||
Real Estate Management & Devel |
2.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVIII :: SRS ULTRASHORT REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �8.98%1. For the same period, the Index had a total return of �4.07%2 and a volatility of 23.70%. For the period, the Fund had an average daily volume of 2,214 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Semiconductors from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Semiconductors |
-8.98 |
% |
-30.52 |
% |
-30.66 |
% |
|||||||||
Dow Jones U.S. Semiconductors Index |
-4.07 |
% |
10.83 |
% |
7.16 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Semiconductors |
3.07 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index � Composition
% of Index |
|||||||
Semiconductors & Semiconductor |
99.3 |
% |
|||||
Technology Hardware & Equipment |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT SEMICONDUCTORS SSG :: LXIX
ProShares UltraShort Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �12.55%1. For the same period, the Index had a total return of 0.28%2 and a volatility of 20.09%. For the period, the Fund had an average daily volume of 4,835 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the technology sector of the U.S. equity market. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Technology from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Technology |
-12.55 |
% |
-28.12 |
% |
-27.08 |
% |
|||||||||
Dow Jones U.S. Technology Index |
0.28 |
% |
11.60 |
% |
8.73 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Technology |
2.60 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index � Composition
% of Index |
|||||||
Software & Services |
55.0 |
% |
|||||
Technology Hardware & Equipment |
27.8 |
% |
|||||
Semiconductors & Semiconductor |
16.1 |
% |
|||||
Health Care Equipment & Services |
0.9 |
% |
|||||
Consumer Durables & Apparels |
0.1 |
% |
|||||
Commercial & Professional Services |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXX :: REW ULTRASHORT TECHNOLOGY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �30.77%1. For the same period, the Index had a total return of 15.39%2 and a volatility of 15.97%. For the period, the Fund had an average daily volume of 3,833 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Utilities from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Utilities |
-30.77 |
% |
-26.25 |
% |
-22.03 |
% |
|||||||||
Dow Jones U.S. Utilities Index |
15.39 |
% |
12.34 |
% |
7.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Utilities |
2.66 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index � Composition
% of Index |
|||||||
Electric Utilities |
57.5 |
% |
|||||
Multi-Utilities |
30.0 |
% |
|||||
Gas Utilities |
7.1 |
% |
|||||
Independent Power and Renewable |
2.8 |
% |
|||||
Water Utilities |
2.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT UTILITIES SDP :: LXXI
ProShares UltraPro Short Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the NASDAQ Biotechnology Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on June 22, 2015 to May 31, 2016, the Fund had a total return of 33.72%1. For the same period, the Index had a total return of �26.84%2 and a volatility of 33.38%. For the period, the Fund had an average daily volume of 72,604 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a modified capitalization weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
During the period, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Nasdaq Biotechnology from June 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/22/15) |
|||||||
ProShares UltraPro Short Nasdaq Biotechnology |
33.72 |
% |
|||||
NASDAQ Biotechnology Index |
-26.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short
Nasdaq Biotechnology |
1.18 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(300 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index � Composition
% of Index |
|||||||
Biotechnology |
80.7 |
% |
|||||
Pharmaceuticals |
12.4 |
% |
|||||
Life Sciences Tools & Services |
6.8 |
% |
|||||
Health Care Equipment & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXII :: ZBIO ULTRAPRO SHORT NASDAQ BIOTECHNOLOGY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short Financial Select Sector (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the S&P Financial Select Sector Index (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �20.09%1. For the same period, the Index had a total return of �1.29%2 and a volatility of 20.20%. For the period, the Fund had an average daily volume of 3,966 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is one of eleven of the S&P Select Sector Indices (the "Select Sector Indices"), each designed to measure the performance of a sector of the S&P 500. Membership in the Select Sector Indices is generally determined by the Global Industry Classification Standard which classifies securities primarily based on revenues; however, earnings and market perception are also considered. The Index consists of companies in the financial sector, including companies involved in banking, thrifts & mortgage finance, specialized finance, consumer finance, asset management and custody banks, investment banking and brokerage and insurance. The financial sector also includes real estate companies and REITs.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Financial Select Sector from July 10, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (7/10/12) |
||||||||||
ProShares UltraPro Short
Financial Select Sector |
-20.09 |
% |
-44.04 |
% |
|||||||
Dow Jones U.S. Financials Index** |
0.35 |
% |
15.72 |
% |
|||||||
S&P Financial Select Sector Index** |
-1.29 |
% |
16.01 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short
Financial Select Sector |
2.70 |
% |
0.95 |
% |
**On November 4, 2015, the Fund's underlying index changed from the Dow Jones U.S. Financials Index to the S&P Financial Select Sector Index in order to match the Fund's underlying index to its Investment Objective.
***Reflects the expense ratio as reported in the Prospectus dated November 4, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(300 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P Financial Select Sector Index � Composition
% of Index |
|||||||
Banks |
34.5 |
% |
|||||
Real Estate Investment Trusts |
18.3 |
% |
|||||
Insurance |
16.9 |
% |
|||||
Diversified Financial Services |
13.1 |
% |
|||||
Capital Markets |
12.0 |
% |
|||||
Consumer Finance |
4.9 |
% |
|||||
Real Estate Management & Development |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT FINANCIAL SELECT SECTOR FINZ :: LXXIII
ProShares Short MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the MSCI EAFE Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 6.73%1. For the same period, the Index had a total return of -9.68%2 and a volatility of 16.24%. For the period, the Fund had an average daily volume of 133,571 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI EAFE from October 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (10/23/07) |
|||||||||||||
ProShares Short
MSCI EAFE |
6.73 |
% |
-6.36 |
% |
-6.39 |
% |
|||||||||
MSCI EAFE Index |
-9.68 |
% |
2.12 |
% |
-0.82 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short MSCI EAFE |
1.00 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index � Country
% of Index |
|||||||
Japan |
23.1 |
% |
|||||
United Kingdom |
19.5 |
% |
|||||
Others |
10.2 |
% |
|||||
France |
9.9 |
% |
|||||
Switzerland |
9.1 |
% |
|||||
Germany |
8.9 |
% |
|||||
Australia |
7.1 |
% |
|||||
Hong Kong |
3.2 |
% |
|||||
Spain |
3.2 |
% |
|||||
Netherlands |
3.0 |
% |
|||||
Sweden |
2.8 |
% |
MSCI EAFE Index � Composition
% of Index |
|||||||
Financials |
23.9 |
% |
|||||
Industrials |
13.3 |
% |
|||||
Consumer Discretionary |
12.7 |
% |
|||||
Consumer Staples |
12.6 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Materials |
6.8 |
% |
|||||
Information Technology |
5.3 |
% |
|||||
Telecommunication Services |
5.2 |
% |
|||||
Energy |
4.7 |
% |
|||||
Utilities |
3.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXIV :: EFZ SHORT MSCI EAFE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the MSCI Emerging Markets Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 12.44%1. For the same period, the Index had a total return of �17.63%2 and a volatility of 18.65%. For the period, the Fund had an average daily volume of 849,144 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in emerging markets countries.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI Emerging Markets from October 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (10/30/07) |
|||||||||||||
ProShares Short MSCI
Emerging Markets |
12.44 |
% |
-1.16 |
% |
-9.13 |
% |
|||||||||
MSCI Emerging Markets Index |
-17.63 |
% |
-4.82 |
% |
-3.41 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short MSCI
Emerging Markets |
0.99 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets
Index �
Country
% of Index |
|||||||
China |
24.4 |
% |
|||||
Korea |
15.3 |
% |
|||||
Taiwan |
12.4 |
% |
|||||
Others |
11.6 |
% |
|||||
India |
8.6 |
% |
|||||
South Africa |
7.2 |
% |
|||||
Brazil |
6.5 |
% |
|||||
Mexico |
4.3 |
% |
|||||
Russia |
3.9 |
% |
|||||
Malaysia |
3.2 |
% |
|||||
Indonesia |
2.6 |
% |
MSCI Emerging Markets
Index �
Composition
% of Index |
|||||||
Financials |
27.1 |
% |
|||||
Information Technology |
21.1 |
% |
|||||
Consumer Discretionary |
9.8 |
% |
|||||
Consumer Staples |
8.6 |
% |
|||||
Energy |
7.7 |
% |
|||||
Telecommunication Services |
6.8 |
% |
|||||
Industrials |
6.5 |
% |
|||||
Materials |
6.4 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Health Care |
2.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT MSCI EMERGING MARKETS EUM :: LXXV
ProShares Short FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the FTSE China 50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 26.37%1. For the same period, the Index had a total return of �29.97%2 and a volatility of 27.67%. For the period, the Fund had an average daily volume of 18,510 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short FTSE China 50 from March 16, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (3/16/10) |
|||||||||||||
ProShares Short FTSE
China 50 |
26.37 |
% |
-5.80 |
% |
-8.18 |
% |
|||||||||
FTSE China 50 Index |
-29.97 |
% |
-2.84 |
% |
-0.16 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short FTSE China 50 |
2.17 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index � Composition
% of Index |
|||||||
Financials |
52.4 |
% |
|||||
Energy |
12.5 |
% |
|||||
Telecommunication Services |
12.2 |
% |
|||||
Information Technology |
10.2 |
% |
|||||
Industrials |
7.0 |
% |
|||||
Consumer Discretionary |
2.1 |
% |
|||||
Consumer Staples |
1.5 |
% |
|||||
Utilities |
1.4 |
% |
|||||
Materials |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVI :: YXI SHORT FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the MSCI EAFE Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 10.38%1. For the same period, the Index had a total return of �9.68%2 and a volatility of 16.24%. For the period, the Fund had an average daily volume of 5,571 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI EAFE from October 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (10/23/07) |
|||||||||||||
ProShares UltraShort
MSCI EAFE |
10.38 |
% |
-15.02 |
% |
-18.20 |
% |
|||||||||
MSCI EAFE Index |
-9.68 |
% |
2.12 |
% |
-0.82 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI EAFE |
2.62 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index � Country
% of Index |
|||||||
Japan |
23.1 |
% |
|||||
United Kingdom |
19.5 |
% |
|||||
Others |
10.2 |
% |
|||||
France |
9.9 |
% |
|||||
Switzerland |
9.1 |
% |
|||||
Germany |
8.9 |
% |
|||||
Australia |
7.1 |
% |
|||||
Hong Kong |
3.2 |
% |
|||||
Spain |
3.2 |
% |
|||||
Netherlands |
3.0 |
% |
|||||
Sweden |
2.8 |
% |
MSCI EAFE Index � Composition
% of Index |
|||||||
Financials |
23.9 |
% |
|||||
Industrials |
13.3 |
% |
|||||
Consumer Discretionary |
12.7 |
% |
|||||
Consumer Staples |
12.6 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Materials |
6.8 |
% |
|||||
Information Technology |
5.3 |
% |
|||||
Telecommunication Services |
5.2 |
% |
|||||
Energy |
4.7 |
% |
|||||
Utilities |
3.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI EAFE EFU :: LXXVII
ProShares UltraShort MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the MSCI Emerging Markets Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 20.41%1. For the same period, the Index had a total return of �17.63%2 and a volatility of 18.65%. For the period, the Fund had an average daily volume of 184,449 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in emerging markets countries.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Emerging Markets from October 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (10/30/07) |
|||||||||||||
ProShares UltraShort
MSCI Emerging Markets |
20.41 |
% |
-6.39 |
% |
-27.65 |
% |
|||||||||
MSCI Emerging Markets Index |
-17.63 |
% |
-4.82 |
% |
-3.41 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Emerging Markets |
1.20 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets
Index �
Country
% of Index |
|||||||
China |
24.4 |
% |
|||||
Korea |
15.3 |
% |
|||||
Taiwan |
12.4 |
% |
|||||
Others |
11.6 |
% |
|||||
India |
8.6 |
% |
|||||
South Africa |
7.2 |
% |
|||||
Brazil |
6.5 |
% |
|||||
Mexico |
4.3 |
% |
|||||
Russia |
3.9 |
% |
|||||
Malaysia |
3.2 |
% |
|||||
Indonesia |
2.6 |
% |
MSCI Emerging Markets
Index �
Composition
% of Index |
|||||||
Financials |
27.1 |
% |
|||||
Information Technology |
21.1 |
% |
|||||
Consumer Discretionary |
9.8 |
% |
|||||
Consumer Staples |
8.6 |
% |
|||||
Energy |
7.7 |
% |
|||||
Telecommunication Services |
6.8 |
% |
|||||
Industrials |
6.5 |
% |
|||||
Materials |
6.4 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Health Care |
2.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVIII :: EEV ULTRASHORT MSCI EMERGING MARKETS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the FTSE Developed Europe Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 8.67%1. For the same period, the Index had a total return of �9.60%2 and a volatility of 19.30%. For the period, the Fund had an average daily volume of 39,612 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted market cap weighted index comprised of large- and mid-cap European stocks, screened for liquidity.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort FTSE Europe from June 16, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 reflects the performance of the FTSE Developed Europe Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
FTSE Europe |
8.67 |
% |
-20.06 |
% |
-29.63 |
% |
|||||||||
FTSE Developed Europe Index |
-9.60 |
% |
2.30 |
% |
7.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort FTSE Europe |
1.21 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe
Index �
Country
% of Index |
|||||||
United Kingdom |
31.4 |
% |
|||||
France |
14.6 |
% |
|||||
Switzerland |
13.9 |
% |
|||||
Germany |
13.8 |
% |
|||||
Spain |
4.9 |
% |
|||||
Netherlands |
4.8 |
% |
|||||
Sweden |
4.4 |
% |
|||||
Italy |
3.4 |
% |
|||||
Denmark |
3.1 |
% |
|||||
Belgium / Luxembourg |
2.3 |
% |
FTSE Developed Europe
Index �
Composition
% of Index |
|||||||
Financials |
21.1 |
% |
|||||
Consumer Staples |
15.3 |
% |
|||||
Health Care |
13.7 |
% |
|||||
Industrials |
12.1 |
% |
|||||
Consumer Discretionary |
11.5 |
% |
|||||
Materials |
7.1 |
% |
|||||
Energy |
6.3 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
4.1 |
% |
|||||
Information Technology |
4.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FTSE EUROPE EPV :: LXXIX
ProShares UltraShort MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the MSCI Pacific ex-Japan Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 6.65%1. For the same period, the Index had a total return of �10.98%2 and a volatility of 20.28%. For the period, the Fund had an average daily volume of 1,342 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the eastern Pacific region, excluding Japan. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Pacific ex-Japan from June 16, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
MSCI Pacific ex-Japan |
6.65 |
% |
-13.66 |
% |
-26.88 |
% |
|||||||||
MSCI Pacific ex-Japan Index |
-10.98 |
% |
0.34 |
% |
7.77 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Pacific ex-Japan |
7.00 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index � Country
% of Index |
|||||||
Australia |
60.1 |
% |
|||||
Hong Kong |
27.5 |
% |
|||||
Singapore |
10.9 |
% |
|||||
New Zealand |
1.5 |
% |
MSCI Pacific ex-Japan
Index �
Composition
% of Index |
|||||||
Financials |
53.9 |
% |
|||||
Industrials |
10.1 |
% |
|||||
Materials |
8.4 |
% |
|||||
Utilities |
5.8 |
% |
|||||
Consumer Staples |
5.2 |
% |
|||||
Consumer Discretionary |
4.7 |
% |
|||||
Health Care |
4.5 |
% |
|||||
Telecommunication Services |
4.1 |
% |
|||||
Energy |
2.9 |
% |
|||||
Information Technology |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXX :: JPX ULTRASHORT MSCI PACIFIC EX-JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the MSCI Brazil 25/50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �12.97%1. For the same period, the Index had a total return �17.81%2 and a volatility of 39.25%. For the period, the Fund had an average daily volume of 107,573 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted, market capitalization of the region.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort MSCI Brazil Capped from June 16, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
MSCI Brazil Capped |
-12.97 |
% |
5.96 |
% |
-14.60 |
% |
|||||||||
MSCI Brazil 25/50 Index |
-17.81 |
% |
-16.02 |
% |
-6.49 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Brazil Capped |
1.35 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index � Composition
% of Index |
|||||||
Financials |
35.2 |
% |
|||||
Consumer Staples |
20.0 |
% |
|||||
Energy |
10.8 |
% |
|||||
Materials |
8.7 |
% |
|||||
Utilities |
6.1 |
% |
|||||
Consumer Discretionary |
5.9 |
% |
|||||
Industrials |
5.4 |
% |
|||||
Information Technology |
4.6 |
% |
|||||
Telecommunication Services |
2.6 |
% |
|||||
Health Care |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI BRAZIL CAPPED BZQ :: LXXXI
ProShares UltraShort FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the FTSE China 50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 47.05%1. For the same period, the Index had a total return of �29.97%2 and a volatility of 27.67%. For the period, the Fund had an average daily volume of 133,612 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort FTSE China 50 from November 6, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (11/06/07) |
|||||||||||||
ProShares UltraShort
FTSE China 50 |
47.05 |
% |
-16.32 |
% |
-33.58 |
% |
|||||||||
FTSE China 50 Index |
-29.97 |
% |
-2.84 |
% |
-4.77 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort FTSE China 50 |
1.18 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index � Composition
% of Index |
|||||||
Financials |
52.4 |
% |
|||||
Energy |
12.5 |
% |
|||||
Telecommunication Services |
12.2 |
% |
|||||
Information Technology |
10.2 |
% |
|||||
Industrials |
7.0 |
% |
|||||
Consumer Discretionary |
2.1 |
% |
|||||
Consumer Staples |
1.5 |
% |
|||||
Utilities |
1.4 |
% |
|||||
Materials |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXII :: FXP ULTRASHORT FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the MSCI Japan Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 2.64%1. For the same period, the Index had a total return of �8.24%2 and a volatility of 24.39%. For the period, the Fund had an average daily volume of 19,041 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in Japan.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Japan from November 6, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (11/06/07) |
|||||||||||||
ProShares UltraShort
MSCI Japan |
2.64 |
% |
-19.60 |
% |
-17.06 |
% |
|||||||||
MSCI Japan Index |
-8.24 |
% |
5.03 |
% |
0.05 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI Japan |
1.76 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index � Composition
% of Index |
|||||||
Consumer Discretionary |
20.7 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Financials |
17.7 |
% |
|||||
Information Technology |
10.3 |
% |
|||||
Health Care |
8.7 |
% |
|||||
Consumer Staples |
8.2 |
% |
|||||
Telecommunication Services |
6.2 |
% |
|||||
Materials |
5.5 |
% |
|||||
Utilities |
2.3 |
% |
|||||
Energy |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI JAPAN EWV :: LXXXIII
ProShares UltraShort MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the MSCI Mexico IMI 25/50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 10.50%1. For the same period, the Index had a total return of �12.38%2 and a volatility of 21.29%. For the period, the Fund had an average daily volume of 846 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Mexican market by capturing 99% of the (publicly available) total market capitalization.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Mexico Capped IMI from June 16, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Mexico Investable Market Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Mexico IMI 25/50 Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
MSCI Mexico Capped IMI |
10.50 |
% |
-11.87 |
% |
-27.26 |
% |
|||||||||
MSCI Mexico IMI 25/50 Index |
-12.38 |
% |
-2.63 |
% |
6.22 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Mexico Capped IMI |
9.12 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index � Composition
% of Index |
|||||||
Consumer Staples |
29.3 |
% |
|||||
Financials |
21.3 |
% |
|||||
Industrials |
13.6 |
% |
|||||
Materials |
12.9 |
% |
|||||
Telecommunication Services |
11.9 |
% |
|||||
Consumer Discretionary |
10.4 |
% |
|||||
Health Care |
0.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXIV :: SMK ULTRASHORT MSCI MEXICO CAPPED IMI :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.49%1. For the same period, the Index had a total return of 4.41%2 with a volatility of 6.00%. For the period, the Fund had an average daily volume of 7,014 shares and an average daily statistical correlation of over 0.99 the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 7-10 Year Treasury from April 4, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/04/11) |
|||||||||||||
ProShares Short 7-10
Year Treasury |
-5.49 |
% |
-6.02 |
% |
-6.60 |
% |
|||||||||
Barclays U.S. 7-10 Year Treasury Bond Index |
4.41 |
% |
4.71 |
% |
5.37 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short 7-10 Year Treasury |
1.08 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(99 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(101 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index � Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT 7-10 YEAR TREASURY TBX :: LXXXV
ProShares Short 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �10.46%1. For the same period, the Index had a total return of 8.36%2 and a volatility of 14.42%. For the period, the Fund had an average daily volume of 599,342 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 20+ Year Treasury from August 18, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (8/18/09) |
|||||||||||||
ProShares Short 20+ Year
Treasury |
-10.46 |
% |
-11.59 |
% |
-11.09 |
% |
|||||||||
Barclays U.S. 20+ Year Treasury Bond Index |
8.36 |
% |
9.33 |
% |
8.42 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short 20+ Year Treasury |
0.95 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(99 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(101 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index � Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXVI :: TBF SHORT 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �0.26%1. For the same period, the Index had a total return of �1.36%2 with a volatility of 6.51%. For the period, the Fund had an average daily volume of 144,476 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar-denominated, corporate bonds for sale in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated sub-investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and are between three and fifteen years to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short High Yield from March 21, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (3/21/11) |
|||||||||||||
ProShares Short High
Yield |
-0.26 |
% |
-7.23 |
% |
-7.43 |
% |
|||||||||
Markit iBoxx $ Liquid High Yield Index |
-1.36 |
% |
4.75 |
% |
4.98 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short High Yield |
1.10 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index � Composition
% of Index |
|||||||
High Yield |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT HIGH YIELD SJB :: LXXXVII
ProShares Short Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�1x) of the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �6.17%1. For the same period, the Index had a total return of 4.51%2 with a volatility of 5.64%. For the period, the Fund had an average daily volume of 742 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated corporate bonds publicly offered in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $3 billion par outstanding; have at least $750 million of outstanding face value; and have at least three years remaining to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Short Investment Grade Corporate from March 28, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (3/28/11) |
|||||||||||||
ProShares Short Investment
Grade Corporate |
-6.17 |
% |
-7.15 |
% |
-7.58 |
% |
|||||||||
Markit iBoxx $ Liquid Investment Grade Index |
4.51 |
% |
5.46 |
% |
5.97 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Investment
Grade Corporate |
4.75 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade Index � Composition
% of Index |
|||||||
Investment Grade |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXVIII :: IGS SHORT INVESTMENT GRADE CORPORATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort 3-7 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Barclays U.S. 3-7 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �6.49%1. For the same period, the Index had a total return of 2.68%2 with a volatility of 3.33%. For the period, the Fund had an average daily volume of 846 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of more than three years and less than seven years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 3-7 Year Treasury from April 4, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/04/11) |
|||||||||||||
ProShares UltraShort 3-7
Year Treasury |
-6.49 |
% |
-6.60 |
% |
-7.49 |
% |
|||||||||
Barclays U.S. 3-7 Year Treasury Bond Index |
2.68 |
% |
2.58 |
% |
3.07 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort 3-7
Year Treasury |
3.23 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 3-7 Year Treasury Bond Index � Composition
% of Index |
|||||||
3-7 Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT 3-7 YEAR TREASURY TBZ :: LXXXIX
ProShares UltraShort 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �10.44%1. For the same period, the Index had a total return of 4.41%2 and a volatility of 6.00%. For the period, the Fund had an average daily volume of 49,937 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 7-10 Year Treasury from April 29, 2008 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/29/08) |
|||||||||||||
ProShares UltraShort
7-10 Year Treasury |
-10.44 |
% |
-11.33 |
% |
-13.69 |
% |
|||||||||
Barclays U.S. 7-10 Year Treasury Bond Index |
4.41 |
% |
4.71 |
% |
5.46 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
7-10 Year Treasury |
0.98 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(198 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index � Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XC :: PST ULTRASHORT 7-10 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �20.79%1. For the same period, the Index had a total return of 8.36%2 and a volatility of 14.42%. For the period, the Fund had an average daily volume of 2,031,056 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort 20+ Year Treasury from April 29, 2008 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/29/08) |
|||||||||||||
ProShares UltraShort
20+ Year Treasury |
-20.79 |
% |
-22.79 |
% |
-22.28 |
% |
|||||||||
Barclays U.S. 20+ Year Treasury Bond Index |
8.36 |
% |
9.33 |
% |
7.99 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort 20+
Year Treasury |
0.93 |
% |
0.93 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index � Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT 20+ YEAR TREASURY TBT :: XCI
ProShares UltraShort TIPS (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�2x) of the daily performance of the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �3.61%1. For the same period, the Index had a total return of 1.23%2 with a volatility of 4.89%. For the period, the Fund had an average daily volume of 29,719 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued TIPS that have at least one year remaining maturity, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million or more par value outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria and the securities of the Index are updated on the last calendar day of each month. TIPS are the inflation indexed bonds issued by the U.S. Treasury. The principal is adjusted by a designated inflation index, such as the consumer price index, the commonly used measure of inflation. The coupon rate is constant, but generates a different amount of interest when multiplied by the inflation-adjusted principal, thus protecting the holder against inflation.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort TIPS from February 9, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/11) |
|||||||||||||
ProShares UltraShort TIPS |
-3.61 |
% |
-6.01 |
% |
-7.94 |
% |
|||||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
1.23 |
% |
2.37 |
% |
3.44 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort TIPS |
1.75 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. Treasury Inflation Protected
Securities (TIPS) Index
(Series L) � Composition
% of Index |
|||||||
TIPS (Series L) |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCII :: TPS ULTRASHORT TIPS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short 20+ Year Treasury (the "Fund") seeks investment results, before fees and expenses, that correspond to three times the inverse (�3x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �31.46%1. For the same period, the Index had a total return of 8.36%2 and a volatility of 14.42%. For the period, the Fund had an average daily volume of 38,908 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar return characteristics as three times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short 20+ Year Treasury from March 27, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (3/27/12) |
||||||||||
ProShares UltraPro
Short 20+ Year Treasury |
-31.46 |
% |
-26.27 |
% |
|||||||
Barclays U.S. 20+ Year Treasury Bond Index |
8.36 |
% |
6.35 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro
Short 20+ Year Treasury |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(299 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index � Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT 20+ YEAR TREASURY TTT :: XCIII
ProShares Ultra S&P500� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �0.89%1. For the same period, the Index had a total return of 1.72%2 and a volatility of 16.65%. For the period, the Fund had an average daily volume of 4,482,016 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra S&P500� from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra S&P500� |
-0.89 |
% |
19.87 |
% |
8.30 |
% |
|||||||||
S&P 500 |
1.72 |
% |
11.65 |
% |
7.69 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra S&P500� |
0.89 |
% |
0.89 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
75 |
% |
|||||
Swap Agreements |
116 |
% |
|||||
Futures Contracts |
9 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.3 |
% |
|||||
Microsoft Corp. |
1.7 |
% |
|||||
Exxon Mobil Corp. |
1.5 |
% |
|||||
Johnson & Johnson |
1.3 |
% |
|||||
General Electric Co. |
1.2 |
% |
S&P 500 � Composition
% of Index |
|||||||
Information Technology |
20.4 |
% |
|||||
Financials |
16.3 |
% |
|||||
Health Care |
14.7 |
% |
|||||
Consumer Discretionary |
12.6 |
% |
|||||
Consumer Staples |
10.1 |
% |
|||||
Industrials |
10.0 |
% |
|||||
Energy |
7.1 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Materials |
2.8 |
% |
|||||
Telecommunication Services |
2.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCIV :: SSO ULTRA S&P500� :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra QQQ� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ-100 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �2.40%1. For the same period, the Index had a total return of 1.67%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 1,846,313 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra QQQ� from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra QQQ� |
-2.40 |
% |
26.79 |
% |
17.19 |
% |
|||||||||
NASDAQ-100 Index |
1.67 |
% |
15.23 |
% |
12.43 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra QQQ� |
1.01 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
80 |
% |
|||||
Swap Agreements |
110 |
% |
|||||
Futures Contracts |
10 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
8.5 |
% |
|||||
Microsoft Corp. |
6.4 |
% |
|||||
Amazon.com, Inc. |
5.2 |
% |
|||||
Facebook, Inc., Class A |
4.2 |
% |
|||||
Alphabet, Inc., Class C |
3.9 |
% |
NASDAQ-100 Index � Composition
% of Index |
|||||||
Information Technology |
56.1 |
% |
|||||
Consumer Discretionary |
21.1 |
% |
|||||
Health Care |
12.8 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Industrials |
1.9 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA QQQ� QLD :: XCV
ProShares Ultra Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �1.36%1. For the same period, the Index had a total return of 1.39%2 and a volatility of 16.18%. For the period, the Fund had an average daily volume of 473,426 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Dow30SM from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra Dow30SM |
-1.36 |
% |
16.60 |
% |
9.15 |
% |
|||||||||
Dow Jones Industrial Average |
1.39 |
% |
9.95 |
% |
7.79 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Dow30SM |
0.98 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
83 |
% |
|||||
Swap Agreements |
106 |
% |
|||||
Futures Contracts |
11 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
3M Co. |
5.4 |
% |
|||||
Goldman Sachs Group, Inc. (The) |
5.1 |
% |
|||||
International Business
Machines Corp. |
4.9 |
% |
|||||
UnitedHealth Group, Inc. |
4.3 |
% |
|||||
Home Depot, Inc. (The) |
4.2 |
% |
Dow Jones Industrial Average � Composition
Industrials |
19.1 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Consumer Discretionary |
15.7 |
% |
|||||
Financials |
15.6 |
% |
|||||
Health Care |
13.0 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
7.3 |
% |
|||||
Materials |
2.5 |
% |
|||||
Telecommunication Services |
2.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCVI :: DDM ULTRA DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P MidCap 400� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.21%1. For the same period, the Index had a total return of �0.42%2 and a volatility of 17.10%. For the period, the Fund had an average daily volume of 73,010 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MidCap400 from June 19, 2006 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra MidCap400 |
-5.21 |
% |
14.91 |
% |
9.55 |
% |
|||||||||
S&P MidCap 400 |
-0.42 |
% |
9.99 |
% |
9.09 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MidCap400 |
0.96 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
84 |
% |
|||||
Swap Agreements |
99 |
% |
|||||
Futures Contracts |
17 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Mettler-Toledo
International, Inc. |
0.6 |
% |
|||||
Fortune Brands Home & Security, Inc. |
0.5 |
% |
|||||
Albemarle Corp. |
0.5 |
% |
|||||
CDK Global, Inc. |
0.5 |
% |
|||||
Ingredion, Inc. |
0.5 |
% |
S&P MidCap 400 � Composition
% of Index |
|||||||
Financials |
26.7 |
% |
|||||
Information Technology |
16.8 |
% |
|||||
Industrials |
14.5 |
% |
|||||
Consumer Discretionary |
11.6 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer Staples |
4.4 |
% |
|||||
Energy |
3.6 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MIDCAP400 MVV :: XCVII
ProShares Ultra Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000� Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �15.63%1. For the same period, the Index had a total return of �5.97%2 and volatility of 19.22%. For the period, the Fund had an average daily volume of 230,006 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000� Index or approximately 10% of the total market capitalization of the Russell 3000� Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Russell2000 from January 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Ultra
Russell2000 |
-15.63 |
% |
10.41 |
% |
2.00 |
% |
|||||||||
Russell 2000 Index |
-5.97 |
% |
7.85 |
% |
5.65 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Russell2000 |
1.10 |
% |
0.96 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
88 |
% |
|||||
Swap Agreements |
99 |
% |
|||||
Futures Contracts |
13 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
STERIS PLC |
0.3 |
% |
|||||
CubeSmart |
0.3 |
% |
|||||
West Pharmaceutical
Services, Inc. |
0.3 |
% |
|||||
TreeHouse Foods, Inc. |
0.3 |
% |
|||||
MarketAxess Holdings, Inc. |
0.3 |
% |
Russell 2000 Index � Composition
% of Index |
|||||||
Financials |
26.5 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Health Care |
14.3 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Materials |
4.1 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Consumer Staples |
3.5 |
% |
|||||
Energy |
2.8 |
% |
|||||
Telecommunication Services |
0.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCVIII :: UWM ULTRA RUSSELL2000 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P SmallCap 600� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �3.71%1. For the same period, the Index had a total return of 0.39%2 and a volatility of 18.08%. For the period, the Fund had an average daily volume of 1,144 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra SmallCap600 from January 23, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Ultra
SmallCap600 |
-3.71 |
% |
16.25 |
% |
6.17 |
% |
|||||||||
S&P SmallCap 600 |
0.39 |
% |
10.65 |
% |
7.57 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra SmallCap600 |
1.44 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
77 |
% |
|||||
Swap Agreements |
123 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Piedmont Natural
Gas Co., Inc. |
0.6 |
% |
|||||
Southwest Gas Corp. |
0.4 |
% |
|||||
Take-Two Interactive
Software, Inc. |
0.4 |
% |
|||||
Blackbaud, Inc. |
0.4 |
% |
|||||
Spire, Inc. |
0.4 |
% |
S&P SmallCap 600 � Composition
% of Index |
|||||||
Financials |
23.3 |
% |
|||||
Industrials |
18.1 |
% |
|||||
Information Technology |
15.7 |
% |
|||||
Consumer Discretionary |
14.0 |
% |
|||||
Health Care |
12.5 |
% |
|||||
Materials |
5.2 |
% |
|||||
Utilities |
4.4 |
% |
|||||
Energy |
2.8 |
% |
|||||
Consumer Staples |
2.8 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA SMALLCAP600 SAA :: XCIX
ProShares UltraPro S&P500� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P 500� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.30%1. For the same period, the Index had a total return of 1.72%2 and a volatility of 16.65%. For the period, the Fund had an average daily volume of 3,570,696 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro S&P500� from June 23, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/23/09) |
|||||||||||||
ProShares UltraPro
S&P500� |
-5.30 |
% |
26.50 |
% |
39.68 |
% |
|||||||||
S&P 500 |
1.72 |
% |
11.65 |
% |
15.46 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro S&P500� |
0.95 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
60 |
% |
|||||
Swap Agreements |
233 |
% |
|||||
Futures Contracts |
7 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
1.8 |
% |
|||||
Microsoft Corp. |
1.4 |
% |
|||||
Exxon Mobil Corp. |
1.2 |
% |
|||||
Johnson & Johnson |
1.0 |
% |
|||||
General Electric Co. |
0.9 |
% |
S&P 500 � Composition
% of Index |
|||||||
Information Technology |
20.4 |
% |
|||||
Financials |
16.3 |
% |
|||||
Health Care |
14.7 |
% |
|||||
Consumer Discretionary |
12.6 |
% |
|||||
Consumer Staples |
10.1 |
% |
|||||
Industrials |
10.0 |
% |
|||||
Energy |
7.1 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Materials |
2.8 |
% |
|||||
Telecommunication Services |
2.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
C :: UPRO ULTRAPRO S&P500� :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro QQQ� (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ-100 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �8.92%1. For the same period, the Index had a total return of 1.67%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 4,054,726 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro QQQ� from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro QQQ� |
-8.92 |
% |
36.58 |
% |
45.17 |
% |
|||||||||
NASDAQ-100 Index |
1.67 |
% |
15.23 |
% |
17.58 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro QQQ� |
1.01 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
61 |
% |
|||||
Swap Agreements |
229 |
% |
|||||
Futures Contracts |
10 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
6.5 |
% |
|||||
Microsoft Corp. |
4.9 |
% |
|||||
Amazon.com, Inc. |
4.0 |
% |
|||||
Facebook, Inc., Class A |
3.2 |
% |
|||||
Alphabet, Inc., Class C |
3.0 |
% |
NASDAQ-100 Index � Composition
% of Index |
|||||||
Information Technology |
56.1 |
% |
|||||
Consumer Discretionary |
21.1 |
% |
|||||
Health Care |
12.8 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Industrials |
1.9 |
% |
|||||
Telecommunication Services |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO QQQ� TQQQ :: CI
ProShares UltraPro Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.83%1. For the same period, the Index had a total return of 1.39%2 and volatility of 16.18%. For the period, the Fund had an average daily volume of 617,659 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Dow30SM from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro Dow30SM |
-5.83 |
% |
21.98 |
% |
30.10 |
% |
|||||||||
Dow Jones Industrial Average |
1.39 |
% |
9.95 |
% |
12.32 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Dow30SM |
1.03 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
67 |
% |
|||||
Swap Agreements |
223 |
% |
|||||
Futures Contracts |
10 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
3M Co. |
4.3 |
% |
|||||
Goldman Sachs Group, Inc. (The) |
4.1 |
% |
|||||
International Business
Machines Corp. |
3.9 |
% |
|||||
UnitedHealth Group, Inc. |
3.4 |
% |
|||||
Home Depot, Inc. (The) |
3.4 |
% |
Dow Jones Industrial Average � Composition
% of Index |
|||||||
Industrials |
19.1 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Consumer Discretionary |
15.7 |
% |
|||||
Financials |
15.6 |
% |
|||||
Health Care |
13.0 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
7.3 |
% |
|||||
Materials |
2.5 |
% |
|||||
Telecommunication Services |
2.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CII :: UDOW ULTRAPRO DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P MidCap 400� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �11.61%1. For the same period, the Index had a total return of �0.42%2 and a volatility of 17.10%. For the period, the Fund had an average daily volume of 13,333 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro MidCap400 from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
MidCap400 |
-11.61 |
% |
17.71 |
% |
32.28 |
% |
|||||||||
S&P MidCap 400 |
-0.42 |
% |
9.99 |
% |
14.43 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro MidCap400 |
1.16 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
65 |
% |
|||||
Swap Agreements |
229 |
% |
|||||
Futures Contracts |
6 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Mettler-Toledo
International, Inc. |
0.4 |
% |
|||||
Fortune Brands Home & Security, Inc. |
0.4 |
% |
|||||
Albemarle Corp. |
0.4 |
% |
|||||
CDK Global, Inc. |
0.4 |
% |
|||||
Ingredion, Inc. |
0.4 |
% |
S&P MidCap 400 � Composition
% of Index |
|||||||
Financials |
26.7 |
% |
|||||
Information Technology |
16.8 |
% |
|||||
Industrials |
14.5 |
% |
|||||
Consumer Discretionary |
11.6 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer Staples |
4.4 |
% |
|||||
Energy |
3.6 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO MIDCAP400 UMDD :: CIII
ProShares UltraPro Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Russell 2000� Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �26.57%1. For the same period, the Index had a total return of �5.97%2 and a volatility of 19.22%. For the period, the Fund had an average daily volume of 170,929 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000� Index or approximately 10% of the total market capitalization of the Russell 3000� Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Russell2000 from February 9, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Russell2000 |
-26.57 |
% |
9.04 |
% |
23.35 |
% |
|||||||||
Russell 2000 Index |
-5.97 |
% |
7.85 |
% |
12.60 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Russell2000 |
1.24 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
59 |
% |
|||||
Swap Agreements |
226 |
% |
|||||
Futures Contracts |
15 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
STERIS PLC |
0.2 |
% |
|||||
CubeSmart |
0.2 |
% |
|||||
West Pharmaceutical
Services, Inc. |
0.2 |
% |
|||||
TreeHouse Foods, Inc. |
0.2 |
% |
|||||
MarketAxess Holdings, Inc. |
0.2 |
% |
Russell 2000 Index � Composition
% of Index |
|||||||
Financials |
26.5 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Health Care |
14.3 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Materials |
4.1 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Consumer Staples |
3.5 |
% |
|||||
Energy |
2.8 |
% |
|||||
Telecommunication Services |
0.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CIV :: URTY ULTRAPRO RUSSELL2000 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �18.79%1. For the same period, the Index had a total return of �6.85%2 and a volatility of 22.05%. For the period, the Fund had an average daily volume of 19,570 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Basic Materials from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra Basic
Materials |
-18.79 |
% |
-3.91 |
% |
-3.07 |
% |
|||||||||
Dow Jones U.S. Basic Materials Index |
-6.85 |
% |
1.38 |
% |
4.74 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Basic Materials |
1.09 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
80 |
% |
|||||
Swap Agreements |
120 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Dow Chemical Co. (The) |
8.7 |
% |
|||||
E.I. du Pont de Nemours & Co. |
8.6 |
% |
|||||
Monsanto Co. |
7.5 |
% |
|||||
Praxair, Inc. |
4.7 |
% |
|||||
Ecolab, Inc. |
4.7 |
% |
Dow Jones U.S. Basic Materials
Index �
Composition
% of Index |
|||||||
Chemicals |
82.3 |
% |
|||||
Metals & Mining |
16.3 |
% |
|||||
Paper & Forest Products |
0.7 |
% |
|||||
Oil, Gas & Consumable Fuels |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA BASIC MATERIALS UYM :: CV
ProShares Ultra Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ Biotechnology Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �47.77%1. For the same period, the Index had a total return of �23.19%2 and a volatility of 32.61%. For the period, the Fund had an average daily volume of 943,840 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Biotechnology from April 7, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/07/10) |
|||||||||||||
ProShares Ultra Nasdaq
Biotechnology |
-47.77 |
% |
35.56 |
% |
34.49 |
% |
|||||||||
NASDAQ Biotechnology Index |
-23.19 |
% |
21.14 |
% |
20.35 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Nasdaq
Biotechnology |
1.04 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
77 |
% |
|||||
Swap Agreements |
124 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Biogen, Inc. |
6.2 |
% |
|||||
Amgen, Inc. |
6.2 |
% |
|||||
Celgene Corp. |
5.8 |
% |
|||||
Regeneron Pharmaceuticals, Inc. |
5.6 |
% |
|||||
Gilead Sciences, Inc. |
5.6 |
% |
NASDAQ Biotechnology
Index �
Composition
% of Index |
|||||||
Biotechnology |
80.7 |
% |
|||||
Pharmaceuticals |
12.4 |
% |
|||||
Life Sciences
Tools & Services |
6.8 |
% |
|||||
Health Care Equipment & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CVI :: BIB ULTRA NASDAQ BIOTECHNOLOGY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 13.15%1. For the same period, the Index had a total return of 8.46%2 and a volatility of 14.79%. For the period, the Fund had an average daily volume of 2,690 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Consumer Goods from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Consumer Goods |
13.15 |
% |
22.62 |
% |
14.47 |
% |
|||||||||
Dow Jones U.S. Consumer Goods Index |
8.46 |
% |
12.60 |
% |
9.66 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Consumer Goods |
1.55 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
73 |
% |
|||||
Swap Agreements |
127 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Procter & Gamble Co. (The) |
7.2 |
% |
|||||
Coca-Cola Co. (The) |
5.8 |
% |
|||||
Philip Morris International, Inc. |
5.1 |
% |
|||||
PepsiCo, Inc. |
4.9 |
% |
|||||
Altria Group, Inc. |
4.2 |
% |
Dow Jones U.S. Consumer Goods Index � Composition
% of Index |
|||||||
Food Beverage & Tobacco |
51.1 |
% |
|||||
Household & Personal Products |
18.0 |
% |
|||||
Consumer Durables &
Apparel |
14.5 |
% |
|||||
Automobiles & Components |
10.6 |
% |
|||||
Software & Services |
2.2 |
% |
|||||
Capital Goods |
1.8 |
% |
|||||
Retailing |
1.3 |
% |
|||||
Diversified Financials |
0.3 |
% |
|||||
Commercial &
Professional Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA CONSUMER GOODS UGE :: CVII
ProShares Ultra Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �0.53%1. For the same period, the Index had a total return of 2.03%2 and a volatility of 16.72%. For the period, the Fund had an average daily volume of 3,246 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra Consumer Services from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Consumer Services |
-0.53 |
% |
29.74 |
% |
12.96 |
% |
|||||||||
Dow Jones U.S. Consumer Services Index |
2.03 |
% |
16.23 |
% |
9.85 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Consumer Services |
1.40 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
79 |
% |
|||||
Swap Agreements |
121 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Amazon.com, Inc. |
7.6 |
% |
|||||
Home Depot, Inc. (The) |
4.5 |
% |
|||||
Comcast Corp., Class A |
4.2 |
% |
|||||
Walt Disney Co. (The) |
4.0 |
% |
|||||
Wal-Mart Stores, Inc. |
3.0 |
% |
Dow Jones U.S. Consumer Services Index � Composition
% of Index |
|||||||
Retailing |
37.3 |
% |
|||||
Media |
23.2 |
% |
|||||
Consumer Services |
15.4 |
% |
|||||
Food & Staples Retailing |
15.1 |
% |
|||||
Transportation |
4.1 |
% |
|||||
Health Care Equipment & Service |
3.1 |
% |
|||||
Commercial &
Professional Services |
1.6 |
% |
|||||
Software & Services |
0.1 |
% |
|||||
Technology Hardware &
Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CVIII :: UCC ULTRA CONSUMER SERVICES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �4.52%1. For the same period, the Index had a total return of 0.35%2 and a volatility of 19.15%. For the period, the Fund had an average daily volume of 70,340 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Financials from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Financials |
-4.52 |
% |
16.78 |
% |
-15.03 |
% |
|||||||||
Dow Jones U.S. Financials Index |
0.35 |
% |
11.11 |
% |
-0.86 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Financials |
0.96 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
81 |
% |
|||||
Swap Agreements |
119 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Berkshire Hathaway, Inc.,
Class B |
5.4 |
% |
|||||
JPMorgan Chase & Co. |
4.9 |
% |
|||||
Wells Fargo & Co. |
4.8 |
% |
|||||
Bank of America Corp. |
3.1 |
% |
|||||
Visa, Inc., Class A |
3.1 |
% |
Dow Jones U.S. Financials
Index �
Composition
% of Index |
|||||||
Banks |
30.0 |
% |
|||||
Diversified Financials |
24.9 |
% |
|||||
Real Estate |
22.5 |
% |
|||||
Insurance |
16.1 |
% |
|||||
Software & Services |
6.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA FINANCIALS UYG :: CIX
ProShares Ultra Gold Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NYSE Arca Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 0.45%1. For the same period, the Index had a total return of 16.91%2 and a volatility of 45.17%. For the period, the Fund had an average daily volume of 9,055 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in exchange-traded funds ("ETFs") and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified market-capitalization weighted index primarily comprised of publicly traded companies involved in the mining of gold and silver. The weight of companies whose revenues are more significantly exposed to silver mining will not exceed 20% of the Index at the time of the Index's rebalance.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Gold Miners from February 12, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/12/15) |
||||||||||
ProShares Ultra Gold Miners |
0.45 |
% |
-13.64 |
% |
|||||||
NYSE Arca Gold Miners Index |
16.91 |
% |
6.65 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Gold Miners |
4.57 |
% |
1.12 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
45 |
% |
|||||
Swap Agreements |
155 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
VanEck Vectors
Gold Miners ETF |
44.8 |
% |
NYSE Arca Gold Miners
Index �
Composition
% of Index |
|||||||
Gold |
91.5 |
% |
|||||
Silver |
7.3 |
% |
|||||
Diversified Metals & Mining |
1.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CX :: GDXX ULTRA GOLD MINERS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Junior Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Market Vectors Global Junior Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 28.90%1. For the same period, the Index had a total return of 32.24%2 and a volatility of 43.87%. For the period, the Fund had an average daily volume of 2,093 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in exchange-traded funds ("ETFs") and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes companies that generate at least 50% of their revenues from (or, in certain circumstances, have at least 50% of their assets related to) gold mining and/or silver mining or have mining projects with the potential to generate at least 50% of their revenues from gold and/or silver when developed. The weight of companies determined to be "silver" stocks will not exceed 20% of the Index at any quarterly rebalance. Between rebalances, however, the weight may exceed 20% due to market appreciation. Such companies may include micro- and small-capitalization companies and foreign issuers.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Junior Miners from February 12, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (2/12/15) |
||||||||||
ProShares Ultra Junior Miners |
28.90 |
% |
10.28 |
% |
|||||||
Market Vectors Global Junior Gold Miners Index |
32.24 |
% |
21.00 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Junior Miners |
4.42 |
% |
1.14 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
VanEck Vectors Junior
Gold Miners ETF |
70.3 |
% |
Market Vectors Global Junior Gold Miners Index � Composition
% of Index |
|||||||
Gold |
71.8 |
% |
|||||
Silver |
25.0 |
% |
|||||
Diversified Metals & Mining |
2.5 |
% |
|||||
Precious Metals & Minerals |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA JUNIOR MINERS GDJJ :: CXI
ProShares Ultra Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �14.22%1. For the same period, the Index had a total return of �4.69%2 and a volatility of 19.88%. For the period, the Fund had an average daily volume of 31,044 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Health Care from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Health Care |
-14.22 |
% |
30.54 |
% |
15.94 |
% |
|||||||||
Dow Jones U.S. Health Care Index |
-4.69 |
% |
16.77 |
% |
10.80 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Health Care |
1.03 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
63 |
% |
|||||
Swap Agreements |
137 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Johnson & Johnson |
7.0 |
% |
|||||
Pfizer, Inc. |
4.7 |
% |
|||||
Merck & Co., Inc. |
3.5 |
% |
|||||
UnitedHealth Group, Inc. |
2.8 |
% |
|||||
Bristol-Myers Squibb Co. |
2.7 |
% |
Dow Jones U.S. Health Care
Index �
Composition
% of Index |
|||||||
Pharmaceuticals |
37.0 |
% |
|||||
Biotechnology |
25.0 |
% |
|||||
Health Care Equipment &
Supplies |
17.7 |
% |
|||||
Health Care Providers & Services |
16.1 |
% |
|||||
Life Sciences Tools & Services |
4.1 |
% |
|||||
Commercial Services & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXII :: RXL ULTRA HEALTH CARE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Homebuilders & Supplies (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select Home Construction Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on June 22, 2015 to May 31, 2016, the Fund had a total return of �6.17%1. For the same period, the Index had a total return of 0.48%2 and a volatility of 24.22%. For the period, the Fund had an average daily volume of 1,926 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the home construction sector of the U.S. equity market. The Index includes companies that are constructors of residential homes, including manufacturers of mobile and prefabricated homes, as well as producers, sellers and suppliers of building materials, furnishings and fixtures. The companies selected for inclusion in the Index must meet minimum market capitalization and liquidity requirements and have a majority of revenues sourced from residential home construction and remodel related business activities.
During the period, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Homebuilders & Supplies from June 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/22/15) |
|||||||
ProShares Ultra Homebuilders & Supplies |
-6.17 |
% |
|||||
Dow Jones U.S. Select Home Construction Index |
0.48 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra
Homebuilders & Supplies |
1.21 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
85 |
% |
|||||
Swap Agreements |
116 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
D.R. Horton, Inc. |
10.0 |
% |
|||||
Lennar Corp., Class A |
8.4 |
% |
|||||
NVR, Inc. |
6.8 |
% |
|||||
PulteGroup, Inc. |
6.5 |
% |
|||||
Toll Brothers, Inc. |
5.2 |
% |
Dow Jones U.S. Select Home Construction Index � Composition
% of Index |
|||||||
Consumer Discretionary |
76.4 |
% |
|||||
Industrials |
18.6 |
% |
|||||
Materials |
5.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA HOMEBUILDERS & SUPPLIES HBU :: CXIII
ProShares Ultra Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 1.34%1. For the same period, the Index had a total return of 3.11%2 and a volatility of 17.23%. For the period, the Fund had an average daily volume of 2,537 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Industrials from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Industrials |
1.34 |
% |
17.47 |
% |
7.06 |
% |
|||||||||
Dow Jones U.S. Industrials Index |
3.11 |
% |
11.15 |
% |
7.75 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Industrials |
1.32 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
129 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
General Electric Co. |
7.6 |
% |
|||||
3M Co. |
2.8 |
% |
|||||
Honeywell International, Inc. |
2.4 |
% |
|||||
Boeing Co. (The) |
2.1 |
% |
|||||
United Technologies Corp. |
2.1 |
% |
Dow Jones U.S. Industrials
Index �
Composition
% of Index |
|||||||
Capital Goods |
58.7 |
% |
|||||
Software & Services |
13.2 |
% |
|||||
Transportation |
11.4 |
% |
|||||
Materials |
6.1 |
% |
|||||
Commercial &
Professional Services |
5.3 |
% |
|||||
Technology Hardware & Equipment |
3.9 |
% |
|||||
Pharmaceuticals,
Biotechnology |
1.2 |
% |
|||||
Utilities |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXIV :: UXI ULTRA INDUSTRIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �30.79%1. For the same period, the Index had a total return of �12.55%2 and a volatility of 28.66%. For the period, the Fund had an average daily volume of 249,773 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Oil & Gas from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Oil & Gas |
-30.79 |
% |
-8.58 |
% |
-5.26 |
% |
|||||||||
Dow Jones U.S. Oil & Gas Index |
-12.55 |
% |
-0.87 |
% |
3.20 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Oil & Gas |
1.06 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
80 |
% |
|||||
Swap Agreements |
120 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
21.0 |
% |
|||||
Chevron Corp. |
10.8 |
% |
|||||
Schlumberger Ltd. |
6.0 |
% |
|||||
Occidental Petroleum Corp. |
3.3 |
% |
|||||
ConocoPhillips |
3.1 |
% |
Dow Jones U.S. Oil & Gas
Index �
Composition
% of Index |
|||||||
Oil, Gas & Consumable Fuels |
83.0 |
% |
|||||
Energy Equipment & Services |
16.2 |
% |
|||||
Electric Utilities |
0.4 |
% |
|||||
Semiconductors & Semiconductor |
0.3 |
% |
|||||
Electrical Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA OIL & GAS DIG :: CXV
ProShares Ultra Oil & Gas Exploration & Production (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P Oil & Gas Exploration & Production Select Industry Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on June 22, 2015 to May 31, 2016, the Fund had a total return of �54.50%1. For the same period, the Index had a total return of �25.52%2 and a volatility of 46.98%. For the period, the Fund had an average daily volume of 2,054 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is equally weighted (as adjusted for diversification and liquidity) and includes domestic companies from the oil and gas exploration and production sub-industry.
During the period, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Oil & Gas Exploration & Production from June 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/22/15) |
|||||||
ProShares Ultra Oil &
Gas Exploration & Production |
-54.50 |
% |
|||||
S&P Oil & Gas Exploration & Production
Select Industry Index |
-25.52 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Oil &
Gas Exploration & Production |
1.21 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
80 |
% |
|||||
Swap Agreements |
120 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
SM Energy Co. |
2.6 |
% |
|||||
Southwestern Energy Co. |
2.4 |
% |
|||||
WPX Energy, Inc. |
2.3 |
% |
|||||
Continental Resources, Inc. |
2.1 |
% |
|||||
QEP Resources, Inc. |
2.1 |
% |
S&P Oil & Gas Exploration & Production Select Industry Index � Composition
% of Index |
|||||||
Oil & Gas Exploration
& Production |
81.4 |
% |
|||||
Oil & Gas Refining & Marketing |
13.0 |
% |
|||||
Integrated Oil & Gas |
5.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXVI :: UOP ULTRA OIL & GAS EXPLORATION & PRODUCTION :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 13.58%1. For the same period, the Index had a total return of 9.15%2 and a volatility of 17.16%. For the period, the Fund had an average daily volume of 118,948 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITS"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Real Estate from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Real Estate |
13.58 |
% |
13.59 |
% |
-9.66 |
% |
|||||||||
Dow Jones U.S. Real Estate Index |
9.15 |
% |
9.24 |
% |
3.15 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Real Estate |
1.00 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
52 |
% |
|||||
Swap Agreements |
148 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Simon Property Group, Inc. |
3.6 |
% |
|||||
American Tower Corp. |
2.6 |
% |
|||||
Public Storage |
2.2 |
% |
|||||
Crown Castle International Corp. |
1.8 |
% |
|||||
Equity Residential |
1.5 |
% |
Dow Jones U.S. Real Estate
Index �
Composition
% of Index |
|||||||
Real Estate Investment Trusts |
97.1 |
% |
|||||
Real Estate Management & Development |
2.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA REAL ESTATE URE :: CXVII
ProShares Ultra S&P Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P Regional Banks Select Industry IndexSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.16%1. For the same period, the Index had a total return of 1.30%2 and a volatility of 24.83%. For the period, the Fund had an average daily volume of 2,442 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is an equal-weighted index (as adjusted to ensure adequate liquidity) that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts while meeting minimum market capitalization and liquidity conditions. Component companies include, among others, leading regional banks or thrifts listed on a U.S. exchange.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra S&P Regional Banking from April 20, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through April 15, 2015 reflects the performance of the KBW Regional Banking Index. Index performance beginning on April 16, 2015 reflects the S&P Regional Banks Select Industry Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/20/10) |
|||||||||||||
ProShares Ultra S&P
Regional Banking |
-5.16 |
% |
15.36 |
% |
8.14 |
% |
|||||||||
S&P Regional Banks Select Industry Index |
1.30 |
% |
11.65 |
% |
8.24 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra S&P
Regional Banking |
2.43 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
81 |
% |
|||||
Swap Agreements |
119 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Regions Financial Corp. |
2.4 |
% |
|||||
SunTrust Banks, Inc. |
2.4 |
% |
|||||
Cullen/Frost Bankers, Inc. |
2.3 |
% |
|||||
KeyCorp |
2.3 |
% |
|||||
Zions Bancorp. |
2.2 |
% |
S&P Regional Banks Select Industry Index � Composition
% of Index |
|||||||
Regional Banks |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXVIII :: KRU ULTRA S&P REGIONAL BANKING :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �14.53%1. For the same period, the Index had a total return of �4.07%2 and a volatility of 23.70%. For the period, the Fund had an average daily volume of 6,498 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Semiconductors from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Semiconductors |
-14.53 |
% |
14.91 |
% |
3.66 |
% |
|||||||||
Dow Jones U.S. Semiconductors Index |
-4.07 |
% |
10.83 |
% |
7.16 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Semiconductors |
1.26 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
82 |
% |
|||||
Swap Agreements |
118 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Intel Corp. |
21.6 |
% |
|||||
QUALCOMM, Inc. |
11.9 |
% |
|||||
Texas Instruments, Inc. |
8.8 |
% |
|||||
Broadcom Ltd. |
8.3 |
% |
|||||
Applied Materials, Inc. |
4.0 |
% |
Dow Jones U.S. Semiconductors
Index �
Composition
% of Index |
|||||||
Semiconductors &
Semiconductor |
99.3 |
% |
|||||
Technology Hardware & Equipment |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA SEMICONDUCTORS USD :: CXIX
ProShares Ultra Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �5.23%1. For the same period, the Index had a total return of 0.28%2 and a volatility of 20.09%. For the period, the Fund had an average daily volume of 17,891 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the technology sector of the U.S. equity market. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Technology from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Technology |
-5.23 |
% |
18.43 |
% |
9.57 |
% |
|||||||||
Dow Jones U.S. Technology Index |
0.28 |
% |
11.60 |
% |
8.73 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Technology |
1.04 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
72 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
11.4 |
% |
|||||
Microsoft Corp. |
8.6 |
% |
|||||
Facebook, Inc., Class A |
5.6 |
% |
|||||
Alphabet, Inc., Class A |
4.5 |
% |
|||||
Alphabet, Inc., Class C |
4.5 |
% |
Dow Jones U.S. Technology
Index �
Composition
% of Index |
|||||||
Software & Services |
55.0 |
% |
|||||
Technology Hardware & Equipment |
27.8 |
% |
|||||
Semiconductors &
Semiconductor |
16.1 |
% |
|||||
Health Care Equipment & Services |
0.9 |
% |
|||||
Consumer Durables & Apparel |
0.1 |
% |
|||||
Commercial & Professional Services |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXX :: ROM ULTRA TECHNOLOGY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 9.40%1. For the same period, the Index had a total return of 7.54%2 and a volatility of 19.92%. For the period, the Fund had an average daily volume of 837 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of U.S. stock market performance of fixed-line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Telecommunications from March 25, 2008 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (3/25/08) |
|||||||||||||
ProShares Ultra
Telecommunications |
9.40 |
% |
9.64 |
% |
6.02 |
% |
|||||||||
Dow Jones U.S. Select Telecommunications Index |
7.54 |
% |
7.20 |
% |
6.92 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Telecommunications |
2.78 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
74 |
% |
|||||
Swap Agreements |
126 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
AT&T, Inc. |
8.1 |
% |
|||||
Verizon Communications, Inc. |
7.5 |
% |
|||||
Level 3 Communications, Inc. |
4.4 |
% |
|||||
T-Mobile US, Inc. |
4.3 |
% |
|||||
SBA Communications
Corp., Class A |
4.3 |
% |
Dow Jones U.S. Select Telecommunications
Index �
Composition
% of Index |
|||||||
Diversified
Telecommunication |
71.3 |
% |
|||||
Wireless Telecommunication Services |
24.7 |
% |
|||||
Internet Software & Services |
4.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA TELECOMMUNICATIONS LTL :: CXXI
ProShares Ultra Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 27.56%1. For the same period, the Index had a total return of 15.39%2 and a volatility of 15.97%. For the period, the Fund had an average daily volume of 3,670 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Utilities from January 30, 2007 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra Utilities |
27.56 |
% |
21.39 |
% |
8.74 |
% |
|||||||||
Dow Jones U.S. Utilities Index |
15.39 |
% |
12.34 |
% |
7.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Utilities |
1.33 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
73 |
% |
|||||
Swap Agreements |
127 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
NextEra Energy, Inc. |
5.6 |
% |
|||||
Duke Energy Corp. |
5.4 |
% |
|||||
Southern Co. (The) |
4.6 |
% |
|||||
Dominion Resources, Inc. |
4.3 |
% |
|||||
American Electric Power
Co., Inc. |
3.2 |
% |
Dow Jones U.S. Utilities
Index �
Composition
% of Index |
|||||||
Electric Utilities |
57.5 |
% |
|||||
Multi-Utilities |
30.0 |
% |
|||||
Gas Utilities |
7.1 |
% |
|||||
Independent Power and Renewable |
2.8 |
% |
|||||
Water Utilities |
2.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXII :: UPW ULTRA UTILITIES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ Biotechnology Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on June 22, 2015 to May 31, 2016, the Fund had a total return of �72.05%1. For the same period, the Index had a total return of �26.84%2 and a volatility of 33.38%. For the period, the Fund had an average daily volume of 153,591 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a modified capitalization weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
During the period, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Nasdaq Biotechnology from June 22, 2015 to May 31, 2016, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/16
Since Inception (6/22/15) |
|||||||
ProShares UltraPro Nasdaq Biotechnology |
-72.05 |
% |
|||||
NASDAQ Biotechnology Index |
-26.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Nasdaq
Biotechnology |
1.23 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
78 |
% |
|||||
Swap Agreements |
222 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Biogen, Inc. |
6.4 |
% |
|||||
Amgen, Inc. |
6.4 |
% |
|||||
Celgene Corp. |
6.0 |
% |
|||||
Regeneron Pharmaceuticals, Inc. |
5.7 |
% |
|||||
Gilead Sciences, Inc. |
5.7 |
% |
NASDAQ Biotechnology
Index �
Composition
% of Index |
|||||||
Biotechnology |
80.7 |
% |
|||||
Pharmaceuticals |
12.4 |
% |
|||||
Life Sciences Tools & Services |
6.8 |
% |
|||||
Health Care Equipment & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO NASDAQ BIOTECHNOLOGY UBIO :: CXXIII
ProShares UltraPro Financial Select Sector (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P Financial Select Sector Index (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �14.79%1. For the same period, the Index had a total return of �1.29%2 and a volatility of 20.20%. For the period, the Fund had an average daily volume of 1,665 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is one of eleven of the S&P Select Sector Indices (the "Select Sector Indices"), each designed to measure the performance of a sector of the S&P 500. Membership in the Select Sector Indices is generally determined by the Global Industry Classification Standard which classifies securities primarily based on revenues; however, earnings and market perception are also considered. The Index consists of companies in the financial sector, including companies involved in banking, thrifts & mortgage finance, specialized finance, consumer finance, asset management and custody banks, investment banking and brokerage and insurance. The financial sector also includes real estate companies and REITs.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Financial Select Sector from July 10, 2012 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Since Inception (7/10/12) |
||||||||||
ProShares UltraPro
Financial Select Sector |
-14.79 |
% |
40.27 |
% |
|||||||
Dow Jones U.S. Financials Index** |
0.35 |
% |
15.72 |
% |
|||||||
S&P Financial Select Sector Index** |
-1.29 |
% |
16.01 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro
Financial Select Sector |
2.14 |
% |
0.95 |
% |
**On November 4, 2015, the Fund's underlying index changed from the Dow Jones U.S. Financials Index to the S&P Financial Select Sector Index in order to match the Fund's underlying index to its Investment Objective.
***Reflects the expense ratio as reported in the Prospectus dated November 4, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
65 |
% |
|||||
Swap Agreements |
235 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Berkshire Hathaway, Inc.,
Class B |
5.8 |
% |
|||||
JPMorgan Chase & Co. |
5.3 |
% |
|||||
Wells Fargo & Co. |
5.2 |
% |
|||||
Bank of America Corp. |
3.4 |
% |
|||||
Citigroup, Inc. |
3.0 |
% |
S&P Financial Select Sector
Index �
Composition
% of Index |
|||||||
Banks |
34.5 |
% |
|||||
Real Estate Investment Trusts |
18.3 |
% |
|||||
Insurance |
16.9 |
% |
|||||
Diversified Financial Services |
13.1 |
% |
|||||
Capital Markets |
12.0 |
% |
|||||
Consumer Finance |
4.9 |
% |
|||||
Real Estate Management
& Development |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXIV :: FINU ULTRAPRO FINANCIAL SELECT SECTOR :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI EAFE Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �23.18%1. For the same period, the Index had a total return of �9.68%2 and a volatility of 16.24%. For the period, the Fund had an average daily volume of 12,971 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI EAFE from June 2, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra MSCI
EAFE |
-23.18 |
% |
-1.77 |
% |
5.42 |
% |
|||||||||
MSCI EAFE Index |
-9.68 |
% |
2.12 |
% |
5.90 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI EAFE |
1.23 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index � Country
% of Index |
|||||||
Japan |
23.1 |
% |
|||||
United Kingdom |
19.5 |
% |
|||||
Others |
10.2 |
% |
|||||
France |
9.9 |
% |
|||||
Switzerland |
9.1 |
% |
|||||
Germany |
8.9 |
% |
|||||
Australia |
7.1 |
% |
|||||
Hong Kong |
3.2 |
% |
|||||
Spain |
3.2 |
% |
|||||
Netherlands |
3.0 |
% |
|||||
Sweden |
2.8 |
% |
MSCI EAFE Index � Composition
% of Index |
|||||||
Financials |
23.9 |
% |
|||||
Industrials |
13.3 |
% |
|||||
Consumer Discretionary |
12.7 |
% |
|||||
Consumer Staples |
12.6 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Materials |
6.8 |
% |
|||||
Information Technology |
5.3 |
% |
|||||
Telecommunication Services |
5.2 |
% |
|||||
Energy |
4.7 |
% |
|||||
Utilities |
3.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI EAFE EFO :: CXXV
ProShares Ultra MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Emerging Markets Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �36.53%1. For the same period, the Index had a total return of �17.63%2 and a volatility of 18.65%. For the period, the Fund had an average daily volume of 8,449 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in emerging markets countries.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Emerging Markets from June 2, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra
MSCI Emerging Markets |
-36.53 |
% |
-16.09 |
% |
-3.66 |
% |
|||||||||
MSCI Emerging Markets Index |
-17.63 |
% |
-4.82 |
% |
2.59 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI
Emerging Markets |
1.20 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index � Country
% of Index |
|||||||
China |
24.4 |
% |
|||||
Korea |
15.3 |
% |
|||||
Taiwan |
12.4 |
% |
|||||
Others |
11.6 |
% |
|||||
India |
8.6 |
% |
|||||
South Africa |
7.2 |
% |
|||||
Brazil |
6.5 |
% |
|||||
Mexico |
4.3 |
% |
|||||
Russia |
3.9 |
% |
|||||
Malaysia |
3.2 |
% |
|||||
Indonesia |
2.6 |
% |
MSCI Emerging Markets
Index �
Composition
% of Index |
|||||||
Financials |
27.1 |
% |
|||||
Information Technology |
21.1 |
% |
|||||
Consumer Discretionary |
9.8 |
% |
|||||
Consumer Staples |
8.6 |
% |
|||||
Energy |
7.7 |
% |
|||||
Telecommunication Services |
6.8 |
% |
|||||
Industrials |
6.5 |
% |
|||||
Materials |
6.4 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Health Care |
2.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXVI :: EET ULTRA MSCI EMERGING MARKETS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE Developed Europe Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �22.20%1. For the same period, the Index had a total return of �9.60%2 and a volatility of 19.30%. For the period, the Fund had an average daily volume of 7,557 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted market cap weighted index comprised of large- and mid-cap European stocks, screened for liquidity.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE Europe from April 27, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 reflects the performance of the FTSE Developed Europe Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra FTSE
Europe |
-22.20 |
% |
-1.63 |
% |
4.41 |
% |
|||||||||
FTSE Developed Europe Index |
-9.60 |
% |
2.30 |
% |
5.15 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra FTSE Europe |
1.25 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe Index � Country
% of Index |
|||||||
United Kingdom |
31.4 |
% |
|||||
France |
14.6 |
% |
|||||
Switzerland |
13.9 |
% |
|||||
Germany |
13.8 |
% |
|||||
Spain |
4.9 |
% |
|||||
Netherlands |
4.8 |
% |
|||||
Sweden |
4.4 |
% |
|||||
Italy |
3.4 |
% |
|||||
Denmark |
3.1 |
% |
|||||
Belgium / Luxembourg |
2.3 |
% |
|||||
Others |
3.4 |
% |
FTSE Developed Europe
Index �
Composition
% of Index |
|||||||
Financials |
21.1 |
% |
|||||
Consumer Staples |
15.3 |
% |
|||||
Health Care |
13.7 |
% |
|||||
Industrials |
12.1 |
% |
|||||
Consumer Discretionary |
11.5 |
% |
|||||
Materials |
7.1 |
% |
|||||
Energy |
6.3 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
4.1 |
% |
|||||
Information Technology |
4.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA FTSE EUROPE UPV :: CXXVII
ProShares Ultra MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Pacific ex-Japan Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �26.61%1. For the same period, the Index had a total return of �10.98%2 and a volatility of 20.28%. For the period, the Fund had an average daily volume of 400 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the eastern Pacific region, excluding Japan. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra MSCI Pacific ex-Japan from April 27, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra MSCI
Pacific ex-Japan |
-26.61 |
% |
-6.36 |
% |
-0.67 |
% |
|||||||||
MSCI Pacific ex-Japan Index |
-10.98 |
% |
0.34 |
% |
2.95 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI
Pacific ex-Japan |
5.13 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index � Country
% of Index |
|||||||
Australia |
60.1 |
% |
|||||
Hong Kong |
27.5 |
% |
|||||
Singapore |
10.9 |
% |
|||||
New Zealand |
1.5 |
% |
MSCI Pacific ex-Japan
Index �
Composition
% of Index |
|||||||
Financials |
53.9 |
% |
|||||
Industrials |
10.1 |
% |
|||||
Materials |
8.4 |
% |
|||||
Utilities |
5.8 |
% |
|||||
Consumer Staples |
5.2 |
% |
|||||
Consumer Discretionary |
4.7 |
% |
|||||
Health Care |
4.5 |
% |
|||||
Telecommunication Services |
4.1 |
% |
|||||
Energy |
2.9 |
% |
|||||
Information Technology |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXVIII :: UXJ ULTRA MSCI PACIFIC EX-JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Brazil 25/50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �45.40%1. For the same period, the Index had a total return of �17.81%2 and a volatility of 39.25%. For the period, the Fund had an average daily volume of 5,869 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted, market capitalization of the region.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra MSCI Brazil Capped from April 27, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra MSCI
Brazil Capped |
-45.40 |
% |
-38.79 |
% |
-31.86 |
% |
|||||||||
MSCI Brazil 25/50 Index |
-17.81 |
% |
-16.02 |
% |
-12.04 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI Brazil Capped |
2.03 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index � Composition
% of Index |
|||||||
Financials |
35.2 |
% |
|||||
Consumer Staples |
20.0 |
% |
|||||
Energy |
10.8 |
% |
|||||
Materials |
8.7 |
% |
|||||
Utilities |
6.1 |
% |
|||||
Consumer Discretionary |
5.9 |
% |
|||||
Industrials |
5.4 |
% |
|||||
Information Technology |
4.6 |
% |
|||||
Telecommunication Services |
2.6 |
% |
|||||
Health Care |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI BRAZIL CAPPED UBR :: CXXIX
ProShares Ultra FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE China 50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �54.12%1. For the same period, the Index had a total return of �29.97%2 and a volatility of 27.67%. For the period, the Fund had an average daily volume of 29,938 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE China 50 from June 2, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra FTSE
China 50 |
-54.12 |
% |
-11.98 |
% |
-4.82 |
% |
|||||||||
FTSE China 50 Index |
-29.97 |
% |
-2.84 |
% |
1.05 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra FTSE China 50 |
1.16 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index � Composition
% of Index |
|||||||
Financials |
52.4 |
% |
|||||
Energy |
12.5 |
% |
|||||
Telecommunication Services |
12.2 |
% |
|||||
Information Technology |
10.2 |
% |
|||||
Industrials |
7.0 |
% |
|||||
Consumer Discretionary |
2.1 |
% |
|||||
Consumer Staples |
1.5 |
% |
|||||
Utilities |
1.4 |
% |
|||||
Materials |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXX :: XPP ULTRA FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Japan Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �21.80%1. For the same period, the Index had a total return of �8.24%2 and a volatility of 24.39%. For the period, the Fund had an average daily volume of 3,435 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in Japan.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Japan from June 2, 2009 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra MSCI
Japan |
-21.80 |
% |
3.58 |
% |
4.22 |
% |
|||||||||
MSCI Japan Index |
-8.24 |
% |
5.03 |
% |
5.38 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI Japan |
1.27 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index � Composition
% of Index |
|||||||
Consumer Discretionary |
20.7 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Financials |
17.7 |
% |
|||||
Information Technology |
10.3 |
% |
|||||
Health Care |
8.7 |
% |
|||||
Consumer Staples |
8.2 |
% |
|||||
Telecommunication Services |
6.2 |
% |
|||||
Materials |
5.5 |
% |
|||||
Utilities |
2.3 |
% |
|||||
Energy |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI JAPAN EZJ :: CXXXI
ProShares Ultra MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the MSCI Mexico IMI 25/50 Index� (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �28.63%1. For the same period, the Index had a total return of �12.38%2 and a volatility of 21.29%. For the period, the Fund had an average daily volume of 1,288 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Mexican market by capturing 99% of the (publicly available) total market capitalization.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Mexico Capped IMI from April 27, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Mexico Investable Market Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Mexico IMI 25/50 Index.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra MSCI
Mexico Capped IMI |
-28.63 |
% |
-11.02 |
% |
-4.17 |
% |
|||||||||
MSCI Mexico IMI 25/50 Index |
-12.38 |
% |
-2.63 |
% |
0.36 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI Mexico
Capped IMI |
2.50 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index � Composition
% of Index |
|||||||
Consumer Staples |
29.3 |
% |
|||||
Financials |
21.3 |
% |
|||||
Industrials |
13.6 |
% |
|||||
Materials |
12.9 |
% |
|||||
Telecommunication Services |
11.9 |
% |
|||||
Consumer Discretionary |
10.4 |
% |
|||||
Health Care |
0.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXXII :: UMX ULTRA MSCI MEXICO CAPPED IMI :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one NAV calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 7.51%1. For the same period, the Index had a total return of 4.41%2 and a volatility of 6.00%. For the period, the Fund had an average daily volume of 48,516 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 7-10 Year Treasury from January 19, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/19/10) |
|||||||||||||
ProShares Ultra 7-10 Year
Treasury |
7.51 |
% |
8.24 |
% |
10.14 |
% |
|||||||||
Barclays U.S. 7-10 Year Treasury Bond Index |
4.41 |
% |
4.71 |
% |
5.59 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra 7-10 Year Treasury |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
72 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Futures Contracts |
3 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond
Index �
Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA 7-10 YEAR TREASURY UST :: CXXXIII
ProShares Ultra 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 13.77%1. For the same period, the Index had a total return of 8.36%2 and a volatility of 14.42%. For the period, the Fund had an average daily volume of 18,581 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2016, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 20+ Year Treasury from January 19, 2010 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (1/19/10) |
|||||||||||||
ProShares Ultra 20+ Year
Treasury |
13.77 |
% |
15.99 |
% |
16.11 |
% |
|||||||||
Barclays U.S. 20+ Year Treasury Bond Index |
8.36 |
% |
9.33 |
% |
9.31 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra 20+ Year Treasury |
1.15 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
67 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
3 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond
Index �
Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXXIV :: UBT ULTRA 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of �6.75%1. For the same period, the Index had a total return of �1.36%2 and a volatility of 6.51%. For the period, the Fund had an average daily volume of 275 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in exchange-traded funds ("ETFs") and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar-denominated, corporate bonds for sale in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated sub-investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and are between three and fifteen years to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra High Yield from April 13, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/13/11) |
|||||||||||||
ProShares Ultra High Yield |
-6.75 |
% |
6.75 |
% |
6.94 |
% |
|||||||||
Markit iBoxx $ Liquid High Yield Index |
-1.36 |
% |
4.75 |
% |
4.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra High Yield |
6.22 |
% |
1.26 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
63 |
% |
|||||
Swap Agreements |
137 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
iShares iBoxx $
High Yield Corporate Bond ETF |
63.0 |
% |
Markit iBoxx $ Liquid High Yield
Index �
Composition
% of Index |
|||||||
High Yield |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA HIGH YIELD UJB :: CXXXV
ProShares Ultra Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2016, the Fund had a total return of 7.65%1. For the same period, the Index had a total return of 4.51%2 and a volatility of 5.64%. For the period, the Fund had an average daily volume of 503 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in exchange-traded funds ("ETFs") and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated corporate bonds publicly offered in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $3 billion par outstanding; have at least $750 million of outstanding face value; and have at least three years remaining to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2016, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Investment Grade Corporate from April 13, 2011 to May 31, 2016, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/16
One Year |
Five Years |
Since Inception (4/13/11) |
|||||||||||||
ProShares Ultra Investment
Grade Corporate |
7.65 |
% |
8.85 |
% |
9.83 |
% |
|||||||||
Markit iBoxx $ Liquid Investment Grade Index |
4.51 |
% |
5.46 |
% |
5.98 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Investment
Grade Corporate |
5.70 |
% |
1.05 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/16
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
72 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
iShares iBoxx $
Investment Grade Corporate Bond ETF |
72.4 |
% |
Markit iBoxx $ Liquid Investment Grade
Index �
Composition
% of Index |
|||||||
Investment Grade |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXXVI :: IGU ULTRA INVESTMENT GRADE CORPORATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
EXPENSE EXAMPLES
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXXVII
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, May 31, 2016.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 =8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended, May 31, 2016.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if transaction costs were included, your costs would have been higher.
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Morningstar Alternatives Solution ETF (a) |
ALTERNATIVE SOLUTIONS PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
996.50 |
$ |
0.65 |
0.13 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,024.35 |
$ |
0.66 |
0.13 |
% |
|||||||||||
DJ Brookfield Global Infrastructure ETF |
SPECIALTY EQUITY PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,062.50 |
$ |
2.32 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.75 |
$ |
2.28 |
0.45 |
% |
|||||||||||
Global Listed Private Equity ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,010.50 |
$ |
3.02 |
0.60 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.00 |
$ |
3.03 |
0.60 |
% |
|||||||||||
Large Cap Core Plus |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,026.70 |
$ |
2.28 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.75 |
$ |
2.28 |
0.45 |
% |
|||||||||||
S&P 500 Dividend Aristocrats ETF |
DIVIDEND GROWERS PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,072.90 |
$ |
1.81 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.25 |
$ |
1.77 |
0.35 |
% |
|||||||||||
S&P MidCap 400 Dividend Aristocrats ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,116.50 |
$ |
2.12 |
0.40 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.00 |
$ |
2.02 |
0.40 |
% |
|||||||||||
Russell 2000 Dividend Growers ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,080.80 |
$ |
2.08 |
0.40 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.00 |
$ |
2.02 |
0.40 |
% |
|||||||||||
MSCI EAFE Dividend Growers ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
983.10 |
$ |
2.48 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.50 |
$ |
2.53 |
0.50 |
% |
CXXXVIII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
MSCI Europe Dividend Growers ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
976.10 |
$ |
2.72 |
0.55 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.25 |
$ |
2.78 |
0.55 |
% |
|||||||||||
MSCI Emerging Markets Dividend Growers ETF (b) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,140.50 |
$ |
2.23 |
0.60 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.00 |
$ |
3.03 |
0.60 |
% |
|||||||||||
S&P 500� Ex-Energy ETF |
S&P 500 EX-SECTOR PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,018.20 |
$ |
1.36 |
0.27 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.65 |
$ |
1.37 |
0.27 |
% |
|||||||||||
S&P 500� Ex-Financials ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,025.60 |
$ |
1.37 |
0.27 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.65 |
$ |
1.37 |
0.27 |
% |
|||||||||||
S&P 500� Ex-Health Care ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,019.10 |
$ |
1.36 |
0.27 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.65 |
$ |
1.37 |
0.27 |
% |
|||||||||||
S&P 500� Ex-Technology ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,018.20 |
$ |
1.36 |
0.27 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.65 |
$ |
1.37 |
0.27 |
% |
|||||||||||
Hedged FTSE Europe ETF |
CURRENCY HEDGED PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
953.40 |
$ |
1.32 |
0.27 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.65 |
$ |
1.37 |
0.27 |
% |
|||||||||||
Hedged FTSE Japan ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
868.80 |
$ |
1.07 |
0.23 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.85 |
$ |
1.16 |
0.23 |
% |
|||||||||||
High Yield-Interest Rate Hedged |
INTEREST RATE HEDGED BOND PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,017.40 |
$ |
2.52 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.50 |
$ |
2.53 |
0.50 |
% |
|||||||||||
Investment Grade-Interest Rate Hedged |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,008.40 |
$ |
1.51 |
0.30 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.50 |
$ |
1.52 |
0.30 |
% |
|||||||||||
USD Covered Bond |
GLOBAL FIXED INCOME PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,015.90 |
$ |
1.76 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.25 |
$ |
1.77 |
0.35 |
% |
|||||||||||
German Sovereign/Sub-Sovereign ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,067.40 |
$ |
2.33 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.75 |
$ |
2.28 |
0.45 |
% |
|||||||||||
Short Term USD Emerging Markets Bond ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,031.70 |
$ |
2.54 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.50 |
$ |
2.53 |
0.50 |
% |
|||||||||||
Hedge Replication ETF |
HEDGE STRATEGIES PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
988.30 |
$ |
4.72 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXXIX
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Managed Futures Strategy ETF (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
994.30 |
$ |
2.15 |
0.76 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.20 |
$ |
3.84 |
0.76 |
% |
|||||||||||
Merger ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,027.50 |
$ |
3.80 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.25 |
$ |
3.79 |
0.75 |
% |
|||||||||||
RAFI� Long/Short |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,011.90 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Inflation Expectations ETF |
INFLATION PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
952.40 |
$ |
3.66 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.25 |
$ |
3.79 |
0.75 |
% |
|||||||||||
CDS Short North American HY Credit ETF |
CREDIT PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
964.20 |
$ |
2.46 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.50 |
$ |
2.53 |
0.50 |
% |
|||||||||||
Short S&P500� |
GEARED PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
967.40 |
$ |
4.38 |
0.89 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.55 |
$ |
4.50 |
0.89 |
% |
|||||||||||
Short QQQ� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,003.60 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
969.70 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
953.60 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,003.00 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
972.30 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort S&P500� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
927.00 |
$ |
4.29 |
0.89 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.55 |
$ |
4.50 |
0.89 |
% |
|||||||||||
UltraShort QQQ� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
991.80 |
$ |
4.73 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
932.10 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
CXL :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
897.90 |
$ |
4.51 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
989.00 |
$ |
4.72 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
931.10 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short S&P500� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
876.60 |
$ |
4.27 |
0.91 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.45 |
$ |
4.60 |
0.91 |
% |
|||||||||||
UltraPro Short QQQ� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
961.70 |
$ |
4.66 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
884.30 |
$ |
4.48 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
831.60 |
$ |
4.35 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
955.20 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
927.80 |
$ |
4.58 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
988.90 |
$ |
4.72 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
954.50 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
918.20 |
$ |
4.56 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short S&P Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,038.20 |
$ |
4.84 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
841.20 |
$ |
4.37 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXLI
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,199.50 |
$ |
5.22 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
879.80 |
$ |
4.46 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
965.70 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
962.90 |
$ |
4.66 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Gold Miners |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
234.00 |
$ |
2.93 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Junior Miners |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
185.20 |
$ |
2.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
940.50 |
$ |
4.61 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Homebuilders & Supplies |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
968.80 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
888.10 |
$ |
4.48 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
873.20 |
$ |
4.45 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Oil & Gas Exploration & Production |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
727.70 |
$ |
4.10 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
832.40 |
$ |
4.35 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
904.00 |
$ |
4.52 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
959.60 |
$ |
4.65 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
CXLII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
702.30 |
$ |
4.04 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,207.70 |
$ |
5.24 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short Financial Select Sector |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
925.10 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,009.90 |
$ |
4.77 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
974.60 |
$ |
4.69 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,042.10 |
$ |
4.85 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,002.30 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
926.60 |
$ |
4.58 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
990.60 |
$ |
4.73 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
873.90 |
$ |
4.45 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
551.00 |
$ |
3.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,050.80 |
$ |
4.87 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,006.10 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,008.80 |
$ |
4.77 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXLIII
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
955.00 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
907.80 |
$ |
4.53 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
950.70 |
$ |
4.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Short Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
945.80 |
$ |
4.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort 3-7 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
948.30 |
$ |
4.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
913.60 |
$ |
4.54 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraShort 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
820.10 |
$ |
4.23 |
0.93 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.35 |
$ |
4.70 |
0.93 |
% |
|||||||||||
UltraShort TIPS |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
934.60 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
733.80 |
$ |
4.12 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra S&P500� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,017.20 |
$ |
4.54 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.50 |
$ |
4.55 |
0.90 |
% |
|||||||||||
Ultra QQQ� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
926.00 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,014.20 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,036.50 |
$ |
4.84 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
920.00 |
$ |
4.56 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
CXLIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
985.20 |
$ |
4.71 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro S&P500� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,007.00 |
$ |
4.77 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro QQQ� |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
866.80 |
$ |
4.43 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,004.30 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,031.00 |
$ |
4.82 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
855.90 |
$ |
4.41 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,060.50 |
$ |
4.89 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
659.00 |
$ |
3.94 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,081.40 |
$ |
4.94 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
970.40 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
948.70 |
$ |
4.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Gold Miners |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
2,335.60 |
$ |
7.92 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Junior Miners |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
2,721.60 |
$ |
8.84 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
982.50 |
$ |
4.71 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXLV
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Homebuilders & Supplies |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
903.10 |
$ |
4.52 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,050.60 |
$ |
4.87 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
945.60 |
$ |
4.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Oil & Gas Exploration & Production |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
824.30 |
$ |
4.33 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,116.50 |
$ |
5.03 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra S&P Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
819.40 |
$ |
4.32 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
985.50 |
$ |
4.72 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
952.70 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,121.50 |
$ |
5.04 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,348.30 |
$ |
5.58 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
491.50 |
$ |
3.54 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
UltraPro Financial Select Sector |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
870.20 |
$ |
4.44 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
919.40 |
$ |
4.56 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
946.50 |
$ |
4.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
CXLVI :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/16 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
927.00 |
$ |
4.58 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,026.20 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,169.70 |
$ |
5.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
810.80 |
$ |
4.30 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
884.00 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
859.00 |
$ |
4.42 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,077.30 |
$ |
4.93 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,168.00 |
$ |
5.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,064.60 |
$ |
4.90 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Ultra Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,089.70 |
$ |
4.96 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.25 |
$ |
4.80 |
0.95 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 183/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
(a) In addition to the fees and expenses which the Morningstar Alternatives Solution ETF bears directly, the Fund indirectly bears a pro-rata share of the fees and expenses of the underlying ProShares ETFs in which the Fund invests. The Fund's Annualized Expense Ratio During Period disclosed in the table above reflects only the direct expenses of the Fund. If the Fund's Annualized Expense Ratio During Period included such indirect expenses, known as Acquired Fund Fees and Expenses, it would have been 0.95% for both the Actual and Hypothetical Expense Examples.
(b) The Fund commenced operations on January 25, 2016. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 127 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one-half year period).
(c) The Fund commenced operations February 17, 2016. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 104 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one-half year period).
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXLVII
This page intentionally left blank.
SCHEDULE OF PORTFOLIO INVESTMENTS
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: 1
Shares |
Value |
||||||||||
Exchange Traded Funds � 100.0% |
|||||||||||
32,793 |
ProShares DJ Brookfield Global Infrastructure ETF� |
$ |
1,276,631 |
||||||||
74,049 |
ProShares Global Listed
Private Equity ETF� |
2,826,080 |
|||||||||
80,619 |
ProShares Hedge Replication ETF� |
3,388,416 |
|||||||||
17,391 |
ProShares Inflation
Expectations ETF� |
475,818 |
|||||||||
110,244 |
ProShares Managed Futures Strategy ETF*� |
4,383,853 |
|||||||||
143,951 |
ProShares Merger ETF� |
5,275,804 |
|||||||||
107,271 |
ProShares RAFI Long/Short� |
4,198,051 |
|||||||||
Total Exchange Traded
Funds (Cost $22,125,657) |
21,824,653 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.2% |
|||||||||||
$ |
52,772 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $52,772 |
52,772 |
||||||||
Total Repurchase Agreements (Cost $52,772) |
52,772 |
||||||||||
Total Investment
Securities (Cost $22,178,429) � 100.2% |
21,877,425 |
||||||||||
Liabilities in excess of other assets � (0.2%) |
(51,932 |
) |
|||||||||
Net Assets � 100.0% |
$ |
21,825,493 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Affiliated company as defined under the Investment Company Act of 1940.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,901 |
|||||
Aggregate gross unrealized depreciation |
(377,494 |
) |
|||||
Net unrealized depreciation |
$ |
(372,593 |
) |
||||
Federal income tax cost of investments |
$ |
22,250,018 |
Investment in a company which was affiliated for the period ending May 31, 2016, was as follows:
Security |
Value May 31, 2015 |
Purchases at Cost |
Sales at Cost |
Value May 31, 2016 |
Dividend Income |
Net Realized Gain/(Loss) |
|||||||||||||||||||||
ProShares DJ Brookfield
Global Infrastructure ETF |
$ |
2,864,027 |
$ |
1,668,575 |
$ |
2,990,022 |
$ |
1,276,631 |
$ |
47,245 |
$ |
(206,766 |
) |
||||||||||||||
ProShares Global Listed Private Equity ETF |
1,845,993 |
5,470,428 |
3,979,894 |
2,826,080 |
465,100 |
(287,005 |
) |
||||||||||||||||||||
ProShares Hedge Replication ETF |
4,938,865 |
4,669,838 |
5,982,933 |
3,388,416 |
41 |
(96,886 |
) |
||||||||||||||||||||
ProShares Inflation Expectations ETF |
564,189 |
1,787,061 |
1,715,200 |
475,818 |
26,783 |
(146,667 |
) |
||||||||||||||||||||
ProShares Managed Futures Strategy ETF* |
� |
5,533,510 |
1,159,600 |
4,383,853 |
� |
5,042 |
|||||||||||||||||||||
ProShares Managed Futures Strategy** |
6,288,508 |
3,606,729 |
9,668,592 |
� |
� |
(299,484 |
) |
||||||||||||||||||||
ProShares Merger ETF |
3,802,169 |
5,227,411 |
3,734,690 |
5,275,804 |
14,100 |
(23,271 |
) |
||||||||||||||||||||
ProShares RAFI Long/Short |
3,134,640 |
5,468,875 |
4,258,262 |
4,198,051 |
80,471 |
(107,394 |
) |
||||||||||||||||||||
$ |
23,438,391 |
$ |
33,432,427 |
$ |
33,489,193 |
$ |
21,824,653 |
$ |
633,740 |
$ |
(1,162,431 |
) |
* Commencement of investment operations on February 17, 2016.
** Fund was liquidated on March 18, 2016.
Further information about each affiliated Underlying Fund may be found herein.
See accompanying notes to the financial statements.
2 :: ALTS MORNINGSTAR ALTERNATIVES SOLUTION ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 84.7% |
|||||||||||
Consumer Discretionary � 1.5% |
|||||||||||
6,665 |
Eutelsat Communications S.A. |
$ |
132,891 |
||||||||
13,371 |
SES S.A. (FDR) |
299,479 |
|||||||||
432,370 |
|||||||||||
Energy � 17.3% |
|||||||||||
5,234 |
Cheniere Energy, Inc.* |
168,168 |
|||||||||
8,882 |
Columbia Pipeline Group, Inc. |
226,846 |
|||||||||
1,544 |
Enbridge Energy Management LLC |
33,752 |
|||||||||
24,107 |
Enbridge, Inc. |
961,081 |
|||||||||
1,157 |
EnLink Midstream LLC |
18,130 |
|||||||||
8,700 |
Inter Pipeline Ltd. |
176,806 |
|||||||||
4,718 |
Keyera Corp. |
140,747 |
|||||||||
41,019 |
Kinder Morgan, Inc. |
741,624 |
|||||||||
1,722 |
Koninklijke Vopak N.V. |
89,726 |
|||||||||
4,672 |
ONEOK, Inc. |
202,064 |
|||||||||
9,775 |
Pembina Pipeline Corp. |
286,761 |
|||||||||
5,403 |
Plains GP Holdings LP, Class A |
50,734 |
|||||||||
985 |
SemGroup Corp., Class A |
31,313 |
|||||||||
15,002 |
Spectra Energy Corp. |
477,964 |
|||||||||
3,623 |
Targa Resources Corp. |
155,173 |
|||||||||
18,312 |
TransCanada Corp. |
758,817 |
|||||||||
7,742 |
Veresen, Inc. |
60,573 |
|||||||||
15,300 |
Williams Cos., Inc. (The) |
339,048 |
|||||||||
4,919,327 |
|||||||||||
Financials � 8.9% |
|||||||||||
14,198 |
American Tower Corp. (REIT) |
1,501,865 |
|||||||||
11,198 |
Crown Castle International Corp. (REIT) |
1,016,890 |
|||||||||
2,518,755 |
|||||||||||
Industrials � 14.7% |
|||||||||||
18,415 |
Abertis Infraestructuras S.A. |
281,935 |
|||||||||
2,861 |
Aena S.A. (b)* |
386,292 |
|||||||||
1,275 |
Aeroports de Paris |
151,864 |
|||||||||
15,733 |
Atlantia SpA |
424,329 |
|||||||||
35,937 |
Auckland International Airport Ltd. |
151,725 |
|||||||||
55,351 |
Beijing Capital International Airport Co. Ltd., Class H |
59,619 |
|||||||||
13,287 |
Beijing Enterprises Holdings Ltd. |
69,079 |
|||||||||
68,376 |
China Merchants Holdings International Co. Ltd. |
195,341 |
|||||||||
16,457 |
Ferrovial S.A. |
348,456 |
|||||||||
743 |
Flughafen Zuerich AG |
130,287 |
|||||||||
1,432 |
Fraport AG Frankfurt
Airport Services Worldwide |
81,976 |
|||||||||
21,476 |
Groupe Eurotunnel SE |
277,066 |
|||||||||
1,257 |
Grupo Aeroportuario del
Pacifico SAB de CV (ADR) |
126,844 |
|||||||||
784 |
Grupo Aeroportuario del Sureste SAB de CV (ADR)* |
123,394 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
179,833 |
Hutchison Port Holdings Trust, Class U |
$ |
77,328 |
||||||||
2,811 |
Japan Airport Terminal Co. Ltd. |
97,224 |
|||||||||
47,356 |
Jiangsu Expressway Co. Ltd., Class H |
64,842 |
|||||||||
15,642 |
Macquarie Atlas Roads Group |
59,240 |
|||||||||
4,831 |
Obrascon Huarte Lain S.A. |
28,215 |
|||||||||
27,009 |
Shenzhen Expressway Co.
Ltd., Class H |
23,183 |
|||||||||
2,624 |
Societa Iniziative Autostradali e Servizi SpA |
25,634 |
|||||||||
42,019 |
Sydney Airport |
215,014 |
|||||||||
79,464 |
Transurban Group |
692,063 |
|||||||||
2,272 |
Westshore Terminals
Investment Corp. |
31,619 |
|||||||||
55,566 |
Zhejiang Expressway Co. Ltd., Class H |
52,057 |
|||||||||
4,174,626 |
|||||||||||
Information Technology � 0.1% |
|||||||||||
652 |
Ei Towers SpA* |
37,542 |
|||||||||
Telecommunication Services � 1.5% |
|||||||||||
4,218 |
SBA Communications Corp.,
Class A* |
419,269 |
|||||||||
Utilities � 40.7% |
|||||||||||
2,674 |
AGL Resources, Inc. |
175,949 |
|||||||||
1,216 |
American States Water Co. |
47,497 |
|||||||||
5,952 |
American Water Works Co., Inc. |
441,043 |
|||||||||
28,809 |
APA Group |
182,606 |
|||||||||
5,886 |
Aqua America, Inc. |
190,177 |
|||||||||
2,267 |
Atmos Energy Corp. |
165,264 |
|||||||||
65,606 |
AusNet Services |
74,681 |
|||||||||
188,882 |
Beijing Enterprises Water Group Ltd. |
121,291 |
|||||||||
1,594 |
California Water Service Group |
46,465 |
|||||||||
14,435 |
CenterPoint Energy, Inc. |
325,221 |
|||||||||
54,949 |
China Gas Holdings Ltd. |
77,784 |
|||||||||
20,731 |
China Resources Gas Group Ltd. |
58,025 |
|||||||||
13,243 |
Cia de Saneamento Basico do
Estado de Sao Paulo (ADR) |
92,966 |
|||||||||
9,850 |
Consolidated Edison, Inc. |
721,611 |
|||||||||
78,259 |
DUET Group |
132,920 |
|||||||||
1,170 |
Elia System Operator S.A./N.V. |
59,069 |
|||||||||
5,863 |
Enagas S.A. |
175,742 |
|||||||||
19,621 |
ENN Energy Holdings Ltd. |
97,338 |
|||||||||
10,606 |
Eversource Energy |
585,875 |
|||||||||
10,996 |
Fortis, Inc. |
343,963 |
|||||||||
174,937 |
Hong Kong & China Gas Co. Ltd. |
335,883 |
|||||||||
5,101 |
ITC Holdings Corp. |
227,097 |
|||||||||
152,775 |
National Grid PLC |
2,228,206 |
|||||||||
1,912 |
New Jersey Resources Corp. |
67,207 |
|||||||||
7,102 |
NiSource, Inc. |
169,454 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 3
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
610 |
Northwest Natural Gas Co. |
$ |
33,489 |
||||||||
1,605 |
NorthWestern Corp. |
93,026 |
|||||||||
1,164 |
ONE Gas, Inc. |
68,269 |
|||||||||
15,920 |
Pennon Group PLC |
198,988 |
|||||||||
16,534 |
PG&E Corp. |
993,363 |
|||||||||
1,808 |
Piedmont Natural Gas Co., Inc. |
108,588 |
|||||||||
4,211 |
Red Electrica Corp. S.A. |
375,017 |
|||||||||
5,268 |
Sempra Energy |
564,308 |
|||||||||
9,305 |
Severn Trent PLC |
308,890 |
|||||||||
55,711 |
Snam SpA |
318,922 |
|||||||||
1,056 |
Southwest Gas Corp. |
73,318 |
|||||||||
59,492 |
Spark Infrastructure Group |
98,895 |
|||||||||
966 |
Spire, Inc. |
61,418 |
|||||||||
54,690 |
Terna Rete Elettrica Nazionale SpA |
303,281 |
|||||||||
13,350 |
Toho Gas Co. Ltd. |
99,099 |
|||||||||
58,247 |
Tokyo Gas Co. Ltd. |
235,597 |
|||||||||
26,222 |
Towngas China Co. Ltd. |
14,308 |
|||||||||
26,625 |
United Utilities Group PLC |
374,054 |
|||||||||
1,109 |
WGL Holdings, Inc. |
72,340 |
|||||||||
11,538,504 |
|||||||||||
Total Common Stocks (Cost $24,317,819) |
24,040,393 |
||||||||||
Investment Companies � 0.6% |
|||||||||||
Financials � 0.6% |
|||||||||||
20,287 |
3i Infrastructure PLC |
50,156 |
|||||||||
51,482 |
HICL Infrastructure Co. Ltd. |
121,316 |
|||||||||
171,472 |
|||||||||||
Total Investment Companies (Cost $170,537) |
171,472 |
||||||||||
Master Limited Partnerships � 14.1% |
|||||||||||
Energy � 13.8% |
|||||||||||
1,491 |
Antero Midstream Partners LP |
36,679 |
|||||||||
2,673 |
Boardwalk Pipeline Partners LP |
47,205 |
|||||||||
2,862 |
Buckeye Partners LP |
205,835 |
|||||||||
991 |
Cheniere Energy Partners LP |
28,650 |
|||||||||
1,188 |
Columbia Pipeline Partners LP |
17,499 |
|||||||||
1,167 |
Crestwood Equity Partners LP |
25,184 |
|||||||||
2,042 |
DCP Midstream Partners LP |
68,468 |
|||||||||
545 |
Dominion Midstream Partners LP |
15,761 |
|||||||||
4,784 |
Enbridge Energy Partners LP |
104,004 |
|||||||||
18,595 |
Energy Transfer Equity LP |
235,041 |
|||||||||
10,352 |
Energy Transfer Partners LP |
375,364 |
|||||||||
2,222 |
EnLink Midstream Partners LP |
34,974 |
|||||||||
28,775 |
Enterprise Products Partners LP |
798,794 |
|||||||||
529 |
EQT GP Holdings LP |
13,807 |
|||||||||
1,212 |
EQT Midstream Partners LP |
91,348 |
Shares |
Value |
||||||||||
Master Limited Partnerships (continued) |
|||||||||||
2,007 |
Genesis Energy LP |
$ |
75,604 |
||||||||
796 |
Holly Energy Partners LP |
26,395 |
|||||||||
5,098 |
Magellan Midstream Partners LP |
357,115 |
|||||||||
5,570 |
MPLX LP |
177,683 |
|||||||||
1,438 |
NuStar Energy LP |
70,706 |
|||||||||
758 |
NuStar GP Holdings LLC |
18,973 |
|||||||||
3,835 |
ONEOK Partners LP |
145,538 |
|||||||||
774 |
Phillips 66 Partners LP |
42,516 |
|||||||||
8,835 |
Plains All American Pipeline LP |
204,354 |
|||||||||
931 |
Rice Midstream Partners LP |
17,028 |
|||||||||
1,234 |
Spectra Energy Partners LP |
55,456 |
|||||||||
808 |
Summit Midstream Partners LP |
16,920 |
|||||||||
4,323 |
Sunoco Logistics Partners LP |
118,666 |
|||||||||
916 |
Tallgrass Energy GP LP |
22,021 |
|||||||||
1,042 |
TC PipeLines LP |
57,550 |
|||||||||
1,305 |
Tesoro Logistics LP |
64,141 |
|||||||||
479 |
Valero Energy Partners LP |
22,163 |
|||||||||
580 |
Western Gas Equity Partners LP |
24,389 |
|||||||||
1,745 |
Western Gas Partners LP |
86,953 |
|||||||||
6,537 |
Williams Partners LP |
208,661 |
|||||||||
3,911,445 |
|||||||||||
Utilities � 0.3% |
|||||||||||
2,058 |
Brookfield Infrastructure Partners LP |
88,000 |
|||||||||
Total Master Limited
Partnerships (Cost $4,568,575) |
3,999,445 |
||||||||||
No. of Rights |
|||||||||||
Rights � 0.0% � |
|||||||||||
5,461 |
3i Infrastructure PLC,
expiring 06/07/16 at GBP 1.65*^(c) |
� |
|||||||||
Total Rights (Cost $�) |
� |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.4% |
|||||||||||
$ |
112,122 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $112,122 |
112,122 |
||||||||
Total Repurchase Agreements
(Cost $112,122) |
112,122 |
||||||||||
Total Investment Securities (Cost $29,169,053) � 99.8% |
28,323,432 |
||||||||||
Other assets less liabilities � 0.2% |
64,336 |
||||||||||
Net Assets � 100.0% |
$ |
28,387,768 |
See accompanying notes to the financial statements.
4 :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At May 31, 2016, the value of these securities amounted to $� or 0.00% of net assets.
� Amount represents less than 0.05%.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(b) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(c) Security has been deemed illiquid at May 31, 2016.
ADR American Depositary Receipt
FDR Finnish Depositary Receipt
GBP British Pound
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,528,741 |
|||||
Aggregate gross unrealized depreciation |
(2,401,543 |
) |
|||||
Net unrealized depreciation |
$ |
(872,802 |
) |
||||
Federal income tax cost of investments |
$ |
29,196,234 |
DJ Brookfield Global Infrastructure ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
United States |
51.2 |
% |
|||||
United Kingdom |
11.6 |
% |
|||||
Canada |
10.0 |
% |
|||||
Spain |
5.6 |
% |
|||||
Australia |
5.1 |
% |
|||||
Italy |
3.9 |
% |
|||||
China |
2.5 |
% |
|||||
France |
2.0 |
% |
|||||
Hong Kong |
1.7 |
% |
|||||
Japan |
1.5 |
% |
|||||
Luxemburg |
1.0 |
% |
|||||
Mexico |
0.9 |
% |
|||||
New Zealand |
0.5 |
% |
|||||
Switzerland |
0.5 |
% |
|||||
Brazil |
0.3 |
% |
|||||
Netherlands |
0.3 |
% |
|||||
Germany |
0.3 |
% |
|||||
Singapore |
0.3 |
% |
|||||
Belgium |
0.2 |
% |
|||||
Other1 |
0.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 5
Shares |
Value |
||||||||||
Common Stocks � 92.3% |
|||||||||||
Financials � 92.3% |
|||||||||||
140,747 |
3i Group PLC |
$ |
1,144,623 |
||||||||
5,544 |
Altamir |
67,730 |
|||||||||
43,120 |
American Capital Ltd.* |
692,507 |
|||||||||
47,240 |
Apollo Investment Corp. |
247,065 |
|||||||||
57,505 |
Ares Capital Corp. |
853,374 |
|||||||||
4,930 |
AURELIUS SE & Co. KGaA |
296,210 |
|||||||||
14,844 |
BlackRock Capital Investment Corp. |
114,596 |
|||||||||
52,973 |
Brait SE* |
537,676 |
|||||||||
2,145 |
Deutsche Beteiligungs AG |
67,029 |
|||||||||
6,408 |
Eurazeo S.A. |
417,168 |
|||||||||
26,114 |
Fifth Street Finance Corp. |
128,742 |
|||||||||
3,930 |
Gimv N.V. |
226,244 |
|||||||||
10,384 |
Golub Capital BDC, Inc. |
180,162 |
|||||||||
14,455 |
Hercules Capital, Inc. |
177,363 |
|||||||||
46,961 |
Intermediate Capital Group PLC |
454,007 |
|||||||||
91,186 |
IP Group PLC* |
222,405 |
|||||||||
9,938 |
Main Street Capital Corp. |
319,606 |
|||||||||
11,336 |
New Mountain Finance Corp. |
142,607 |
|||||||||
15,376 |
Onex Corp. |
933,570 |
|||||||||
14,713 |
PennantPark Investment Corp. |
95,487 |
|||||||||
56,216 |
Prospect Capital Corp. |
422,182 |
|||||||||
30,845 |
Ratos AB, Class B |
167,069 |
|||||||||
8,312 |
Solar Capital Ltd. |
153,024 |
|||||||||
10,115 |
TCP Capital Corp. |
147,881 |
|||||||||
6,724 |
Triangle Capital Corp. |
125,403 |
|||||||||
3,822 |
Wendel S.A. |
441,202 |
|||||||||
8,774,932 |
|||||||||||
Total Common Stocks (Cost $9,138,807) |
8,774,932 |
||||||||||
Investment Companies � 5.7% |
|||||||||||
Financials � 5.7% |
|||||||||||
5,346 |
Electra Private Equity PLC |
296,010 |
|||||||||
1,206 |
HBM Healthcare Investments AG, Class A* |
121,450 |
|||||||||
6,938 |
HgCapital Trust PLC |
125,407 |
|||||||||
542,867 |
|||||||||||
Total Investment
Companies (Cost $459,038) |
542,867 |
Shares |
Value |
||||||||||
Master Limited Partnership � 1.5% |
|||||||||||
Financials � 1.5% |
|||||||||||
8,906 |
Compass Diversified Holdings |
$ |
141,516 |
||||||||
Total Master Limited Partnership (Cost $136,950) |
141,516 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.4% |
|||||||||||
$ |
35,056 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $35,056 |
35,056 |
||||||||
Total Repurchase Agreements
(Cost $35,056) |
35,056 |
||||||||||
Total Investment Securities (Cost $9,769,851) � 99.9% |
9,494,371 |
||||||||||
Other assets less liabilities � 0.1% |
4,752 |
||||||||||
Net Assets � 100.0% |
$ |
9,499,123 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
744,310 |
|||||
Aggregate gross unrealized depreciation |
(1,477,663 |
) |
|||||
Net unrealized depreciation |
$ |
(733,353 |
) |
||||
Federal income tax cost of investments |
$ |
10,227,724 |
See accompanying notes to the financial statements.
6 :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Global Listed Private Equity ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
United States |
41.5 |
% |
|||||
United Kingdom |
23.6 |
% |
|||||
Canada |
9.8 |
% |
|||||
France |
9.7 |
% |
|||||
South Africa |
5.7 |
% |
|||||
Germany |
3.8 |
% |
|||||
Belgium |
2.4 |
% |
|||||
Sweden |
1.7 |
% |
|||||
Switzerland |
1.3 |
% |
|||||
Other1 |
0.5 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: GLOBAL LISTED PRIVATE EQUITY ETF PEX :: 7
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) � 94.4% |
|||||||||||||||
26,195 |
AbbVie, Inc. (Health Care) |
0.4 |
% |
$ |
1,648,451 |
||||||||||
8,225 |
Allergan PLC*
(Health Care) |
0.5 |
% |
1,939,044 |
|||||||||||
3,915 |
Alphabet, Inc., Class A* (Information Technology) |
0.8 |
% |
2,931,748 |
|||||||||||
3,124 |
Alphabet, Inc., Class C*
(Information Technology) |
0.6 |
% |
2,298,389 |
|||||||||||
4,265 |
Amazon.com, Inc.* (Consumer Discretionary) |
0.8 |
% |
3,082,699 |
|||||||||||
15,134 |
Amgen, Inc.
(Health Care) |
0.6 |
% |
2,390,415 |
|||||||||||
73,693 |
Apple, Inc. (Information Technology) |
1.9 |
% |
7,358,984 |
|||||||||||
38,608 |
Archer-Daniels-Midland Co.
(Consumer Staples) |
0.4 |
% |
1,651,264 |
|||||||||||
69,623 |
AT&T, Inc. (Telecommunication Services) |
0.7 |
% |
2,725,740 |
|||||||||||
237,805 |
Bank of America Corp.
(Financials) |
0.9 |
% |
3,517,136 |
|||||||||||
9,933 |
Becton, Dickinson and Co. (Health Care) |
0.4 |
% |
1,653,348 |
|||||||||||
29,314 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
1.1 |
% |
4,119,790 |
|||||||||||
23,196 |
Capital One Financial Corp. (Financials) |
0.4 |
% |
1,698,875 |
|||||||||||
36,537 |
Chevron Corp. (Energy) |
1.0 |
% |
3,690,237 |
|||||||||||
69,467 |
Cisco Systems, Inc. (Information Technology) |
0.5 |
% |
2,018,016 |
|||||||||||
70,610 |
Citigroup, Inc. (Financials) |
0.8 |
% |
3,288,307 |
|||||||||||
16,286 |
CME Group, Inc. (Financials) |
0.4 |
% |
1,594,237 |
|||||||||||
35,519 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.4 |
% |
1,584,147 |
|||||||||||
27,683 |
Cognizant Technology Solutions Corp., Class A* (Information Technology) |
0.4 |
% |
1,700,843 |
|||||||||||
27,345 |
CVS Health Corp.
(Consumer Staples) |
0.7 |
% |
2,637,425 |
|||||||||||
24,972 |
Express Scripts Holding Co.* (Health Care) |
0.5 |
% |
1,886,635 |
|||||||||||
52,470 |
Exxon Mobil Corp. (Energy) |
1.2 |
% |
4,670,879 |
|||||||||||
38,037 |
Facebook, Inc., Class A* (Information Technology) |
1.2 |
% |
4,519,176 |
|||||||||||
143,929 |
Ford Motor Co.
(Consumer Discretionary) |
0.5 |
% |
1,941,602 |
|||||||||||
12,198 |
General Dynamics Corp. (Industrials) |
0.5 |
% |
1,730,530 |
|||||||||||
111,411 |
General Electric Co.
(Industrials) |
0.9 |
% |
3,367,955 |
|||||||||||
57,602 |
General Motors Co. (Consumer Discretionary) |
0.5 |
% |
1,801,791 |
|||||||||||
33,171 |
Gilead Sciences, Inc.
(Health Care) |
0.7 |
% |
2,887,867 |
|||||||||||
21,198 |
Honeywell International, Inc. (Industrials) |
0.6 |
% |
2,412,968 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
121,683 |
HP, Inc. (Information Technology) |
0.4 |
% |
$ |
1,628,119 |
||||||||||
6,152 |
Intercontinental
Exchange, Inc. (Financials) |
0.4 |
% |
1,667,930 |
|||||||||||
32,803 |
Johnson & Johnson (Health Care) |
1.0 |
% |
3,696,570 |
|||||||||||
38,373 |
JPMorgan Chase & Co.
(Financials) |
0.6 |
% |
2,504,606 |
|||||||||||
22,299 |
Kraft Heinz Co. (The) (Consumer Staples) |
0.5 |
% |
1,855,054 |
|||||||||||
8,678 |
Lockheed Martin Corp.
(Industrials) |
0.5 |
% |
2,050,004 |
|||||||||||
126,315 |
Micron Technology, Inc.* (Information Technology) |
0.4 |
% |
1,606,727 |
|||||||||||
101,744 |
Microsoft Corp.
(Information Technology) |
1.4 |
% |
5,392,432 |
|||||||||||
65,953 |
Morgan Stanley (Financials) |
0.5 |
% |
1,805,134 |
|||||||||||
73,362 |
Pfizer, Inc. (Health Care) |
0.7 |
% |
2,545,661 |
|||||||||||
19,872 |
Phillips 66 (Energy) |
0.4 |
% |
1,596,914 |
|||||||||||
29,766 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.6 |
% |
2,412,237 |
|||||||||||
6,495 |
Public Storage (REIT) (Financials) |
0.4 |
% |
1,647,846 |
|||||||||||
24,204 |
Target Corp.
(Consumer Discretionary) |
0.4 |
% |
1,664,751 |
|||||||||||
34,533 |
Texas Instruments, Inc. (Information Technology) |
0.5 |
% |
2,092,700 |
|||||||||||
21,316 |
Time Warner, Inc.
(Consumer Discretionary) |
0.4 |
% |
1,612,769 |
|||||||||||
56,865 |
Verizon Communications, Inc. (Telecommunication Services) |
0.7 |
% |
2,894,428 |
|||||||||||
17,357 |
Vertex Pharmaceuticals,
Inc.* (Health Care) |
0.4 |
% |
1,616,805 |
|||||||||||
25,400 |
Walgreens Boots Alliance, Inc. (Consumer Staples) |
0.5 |
% |
1,965,960 |
|||||||||||
48,487 |
Wells Fargo & Co.
(Financials) |
0.6 |
% |
2,459,261 |
|||||||||||
5,448,259 |
Other Common Stocks |
62.8 |
% |
245,202,202 |
|||||||||||
Total Common Stocks
(Cost $357,780,567) |
368,666,608 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) � 4.0% |
|||||||||||||||
$ |
15,690,077 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $15,690,201 |
15,690,077 |
||||||||||||
Total Repurchase Agreements (Cost $15,690,077) |
15,690,077 |
||||||||||||||
Total Investment Securities
(Cost $373,470,644) � 98.4% |
384,356,685 |
||||||||||||||
Other assets less liabilities � 1.6% |
6,294,016 |
||||||||||||||
Net Assets � 100.0% |
$ |
390,650,701 |
See accompanying notes to the financial statements.
8 :: CSM LARGE CAP CORE PLUS :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $75,220,751.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
29,183,441 |
|||||
Aggregate gross unrealized depreciation |
(19,546,716 |
) |
|||||
Net unrealized appreciation |
$ |
9,636,725 |
|||||
Federal income tax cost of investments |
$ |
374,719,960 |
Swap Agreements1
Large Cap Core Plus had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,040,834 |
) |
11/07/16 |
Deutsche Bank AG |
(0.01 |
)% |
Credit Suisse 130/30
Large Cap Index (short portion) |
$ |
(95,731 |
) |
|||||||||||||||||||||||||
125,143,870 |
11/06/17 |
Deutsche Bank AG |
0.51 |
% |
Credit Suisse 130/30 Large Cap Index (long portion) |
2,042,312 |
|||||||||||||||||||||||||||||
124,103,036 |
1,946,581 |
$ |
� |
$ |
(1,946,581 |
) |
$ |
� |
|||||||||||||||||||||||||||
(115,649,869 |
) |
11/07/16 |
Goldman Sachs International |
(0.51 |
)% |
Credit Suisse 130/30 Large Cap Index (short portion) |
2,410,915 |
(2,410,915 |
) |
� |
� |
||||||||||||||||||||||||
(247,636 |
) |
11/07/16 |
Societe Generale |
(0.24 |
)% |
Credit Suisse 130/30
Large Cap Index (short portion) |
(3,939 |
) |
|||||||||||||||||||||||||||
4,947,230 |
01/08/18 |
Societe Generale |
0.64 |
% |
Credit Suisse 130/30 Large Cap Index (long portion) |
347,554 |
|||||||||||||||||||||||||||||
4,699,594 |
343,615 |
� |
(300,000 |
) |
43,615 |
||||||||||||||||||||||||||||||
(224,088 |
) |
11/06/17 |
UBS AG |
(0.44 |
)% |
Credit Suisse 130/30 Large Cap Index (short portion) |
(252,394 |
) |
|||||||||||||||||||||||||||
8,872,307 |
11/06/17 |
UBS AG |
0.79 |
% |
Credit Suisse 130/30
Large Cap Index (long portion) |
182,335 |
|||||||||||||||||||||||||||||
8,648,219 |
(70,059 |
) |
� |
70,059 |
� |
||||||||||||||||||||||||||||||
$ |
21,800,980 |
$ |
4,631,052 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: LARGE CAP CORE PLUS CSM :: 9
Large Cap Core Plus invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
13.6 |
% |
|||||
Consumer Staples |
7.7 |
% |
|||||
Energy |
6.2 |
% |
|||||
Financials |
19.1 |
% |
|||||
Health Care |
11.8 |
% |
|||||
Industrials |
10.2 |
% |
|||||
Information Technology |
15.7 |
% |
|||||
Materials |
3.3 |
% |
|||||
Telecommunication Services |
2.1 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Other1 |
5.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
10 :: CSM LARGE CAP CORE PLUS :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 99.8% |
|||||||||||
Consumer Discretionary � 11.7% |
|||||||||||
394,955 |
Genuine Parts Co. |
$ |
38,279,039 |
||||||||
802,012 |
Leggett & Platt, Inc. |
40,309,123 |
|||||||||
502,610 |
Lowe's Cos., Inc. |
40,274,139 |
|||||||||
304,578 |
McDonald's Corp. |
37,176,791 |
|||||||||
464,271 |
Target Corp. |
31,932,559 |
|||||||||
596,597 |
VF Corp. |
37,179,924 |
|||||||||
225,151,575 |
|||||||||||
Consumer Staples � 26.3% |
|||||||||||
964,765 |
Archer-Daniels-Midland Co. |
41,262,999 |
|||||||||
409,910 |
Brown-Forman Corp., Class B |
40,199,874 |
|||||||||
312,156 |
Clorox Co. (The) |
40,124,532 |
|||||||||
858,193 |
Coca-Cola Co. (The) |
38,275,408 |
|||||||||
553,486 |
Colgate-Palmolive Co. |
38,970,949 |
|||||||||
1,014,967 |
Hormel Foods Corp. |
34,925,015 |
|||||||||
301,259 |
Kimberly-Clark Corp. |
38,271,943 |
|||||||||
416,562 |
McCormick & Co., Inc. (Non-Voting) |
40,435,673 |
|||||||||
374,815 |
PepsiCo, Inc. |
37,920,034 |
|||||||||
472,187 |
Procter & Gamble Co. (The) |
38,266,035 |
|||||||||
835,131 |
Sysco Corp. |
40,178,152 |
|||||||||
476,966 |
Walgreens Boots Alliance, Inc. |
36,917,168 |
|||||||||
556,228 |
Wal-Mart Stores, Inc. |
39,369,818 |
|||||||||
505,117,600 |
|||||||||||
Energy � 4.0% |
|||||||||||
374,707 |
Chevron Corp. |
37,845,407 |
|||||||||
436,694 |
Exxon Mobil Corp. |
38,874,500 |
|||||||||
76,719,907 |
|||||||||||
Financials � 12.1% |
|||||||||||
562,778 |
Aflac, Inc. |
39,090,560 |
|||||||||
591,788 |
Cincinnati Financial Corp. |
40,892,551 |
|||||||||
939,853 |
Franklin Resources, Inc. |
35,103,509 |
|||||||||
1,132,223 |
HCP, Inc. (REIT) |
37,216,170 |
|||||||||
369,775 |
S&P Global, Inc. |
41,344,544 |
|||||||||
492,707 |
T. Rowe Price Group, Inc. |
37,968,001 |
|||||||||
231,615,335 |
|||||||||||
Health Care � 13.8% |
|||||||||||
867,145 |
Abbott Laboratories |
34,364,956 |
|||||||||
622,342 |
AbbVie, Inc. |
39,163,982 |
|||||||||
239,082 |
Becton, Dickinson and Co. |
39,795,199 |
|||||||||
184,452 |
C.R. Bard, Inc. |
40,402,366 |
|||||||||
439,804 |
Cardinal Health, Inc. |
34,722,526 |
|||||||||
337,308 |
Johnson & Johnson |
38,011,239 |
|||||||||
483,902 |
Medtronic PLC |
38,944,433 |
|||||||||
265,404,701 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Industrials � 16.1% |
|||||||||||
226,627 |
3M Co. |
$ |
38,145,857 |
||||||||
426,124 |
Cintas Corp. |
40,396,555 |
|||||||||
567,534 |
Dover Corp. |
37,882,894 |
|||||||||
689,086 |
Emerson Electric Co. |
35,846,254 |
|||||||||
365,223 |
Illinois Tool Works, Inc. |
38,724,595 |
|||||||||
667,315 |
Pentair PLC |
40,199,055 |
|||||||||
342,293 |
Stanley Black & Decker, Inc. |
38,740,722 |
|||||||||
166,816 |
W.W. Grainger, Inc. |
38,092,434 |
|||||||||
308,028,366 |
|||||||||||
Information Technology � 2.0% |
|||||||||||
426,373 |
Automatic Data Processing, Inc. |
37,452,604 |
|||||||||
Materials � 9.7% |
|||||||||||
258,058 |
Air Products & Chemicals, Inc. |
36,809,393 |
|||||||||
328,830 |
Ecolab, Inc. |
38,552,030 |
|||||||||
771,414 |
Nucor Corp. |
37,421,293 |
|||||||||
337,703 |
PPG Industries, Inc. |
36,363,859 |
|||||||||
127,790 |
Sherwin-Williams Co. (The) |
37,198,391 |
|||||||||
186,344,966 |
|||||||||||
Telecommunication Services � 2.1% |
|||||||||||
1,004,039 |
AT&T, Inc. |
39,308,127 |
|||||||||
Utilities � 2.0% |
|||||||||||
534,001 |
Consolidated Edison, Inc. |
39,120,913 |
|||||||||
Total Common
Stocks (Cost $1,801,529,085) |
1,914,264,094 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.0% � |
|||||||||||
$ |
891,218 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $891,226 |
891,218 |
||||||||
Total Repurchase Agreements (Cost $891,218) |
891,218 |
||||||||||
Total Investment
Securities (Cost $1,802,420,303) � 99.8% |
1,915,155,312 |
||||||||||
Other assets less liabilities � 0.2% |
3,180,484 |
||||||||||
Net Assets � 100.0% |
$ |
1,918,335,796 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: S&P 500 DIVIDEND ARISTOCRATS ETF NOBL :: 11
� Amount represents less than 0.05%.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
128,872,827 |
|||||
Aggregate gross unrealized depreciation |
(18,255,538 |
) |
|||||
Net unrealized appreciation |
$ |
110,617,289 |
|||||
Federal income tax cost of investments |
$ |
1,804,538,023 |
See accompanying notes to the financial statements.
12 :: NOBL S&P 500 DIVIDEND ARISTOCRATS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 99.8% |
|||||||||||
Consumer Discretionary � 6.2% |
|||||||||||
32,534 |
John Wiley & Sons, Inc., Class A |
$ |
1,752,932 |
||||||||
33,813 |
Meredith Corp. |
1,673,743 |
|||||||||
16,338 |
Polaris Industries, Inc. |
1,389,057 |
|||||||||
4,815,732 |
|||||||||||
Consumer Staples � 6.8% |
|||||||||||
14,905 |
Casey's General Stores, Inc. |
1,791,730 |
|||||||||
14,954 |
Lancaster Colony Corp. |
1,812,873 |
|||||||||
46,482 |
Tootsie Roll Industries, Inc. |
1,663,591 |
|||||||||
5,268,194 |
|||||||||||
Financials � 27.9% |
|||||||||||
37,540 |
Bank of the Ozarks, Inc. |
1,460,681 |
|||||||||
47,379 |
Brown & Brown, Inc. |
1,708,487 |
|||||||||
34,832 |
Commerce Bancshares, Inc./MO |
1,704,330 |
|||||||||
26,642 |
Cullen/Frost Bankers, Inc. |
1,782,350 |
|||||||||
45,767 |
Eaton Vance Corp. |
1,664,088 |
|||||||||
10,604 |
FactSet Research Systems, Inc. |
1,686,778 |
|||||||||
30,479 |
Mercury General Corp. |
1,602,281 |
|||||||||
37,361 |
National Retail Properties, Inc. (REIT) |
1,693,574 |
|||||||||
90,109 |
Old Republic International Corp. |
1,726,489 |
|||||||||
31,758 |
Prosperity Bancshares, Inc. |
1,710,168 |
|||||||||
14,193 |
RenaissanceRe Holdings Ltd. |
1,639,433 |
|||||||||
33,542 |
SEI Investments Co. |
1,725,401 |
|||||||||
45,656 |
Tanger Factory Outlet
Centers, Inc. (REIT) |
1,608,004 |
|||||||||
21,712,064 |
|||||||||||
Health Care � 4.3% |
|||||||||||
44,455 |
Owens & Minor, Inc. |
1,657,727 |
|||||||||
22,715 |
West Pharmaceutical Services, Inc. |
1,705,442 |
|||||||||
3,363,169 |
|||||||||||
Industrials � 17.2% |
|||||||||||
20,445 |
A. O. Smith Corp. |
1,682,624 |
|||||||||
16,326 |
Carlisle Cos., Inc. |
1,694,965 |
|||||||||
27,908 |
CLARCOR, Inc. |
1,654,944 |
|||||||||
49,759 |
Donaldson Co., Inc. |
1,667,424 |
|||||||||
20,397 |
Graco, Inc. |
1,637,267 |
|||||||||
26,116 |
Lincoln Electric Holdings, Inc. |
1,571,661 |
|||||||||
33,315 |
MSA Safety, Inc. |
1,678,077 |
|||||||||
20,806 |
Nordson Corp. |
1,809,706 |
|||||||||
13,396,668 |
|||||||||||
Information Technology � 2.5% |
|||||||||||
34,531 |
CDK Global, Inc. |
1,909,564 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Materials � 12.9% |
|||||||||||
24,807 |
Albemarle Corp. |
$ |
1,947,350 |
||||||||
20,624 |
AptarGroup, Inc. |
1,593,410 |
|||||||||
31,212 |
Bemis Co., Inc. |
1,571,212 |
|||||||||
32,052 |
RPM International, Inc. |
1,608,690 |
|||||||||
34,626 |
Sonoco Products Co. |
1,650,621 |
|||||||||
15,389 |
Valspar Corp. (The) |
1,666,937 |
|||||||||
10,038,220 |
|||||||||||
Telecommunication Services � 2.0% |
|||||||||||
54,967 |
Telephone & Data Systems, Inc. |
1,582,500 |
|||||||||
Utilities � 20.0% |
|||||||||||
53,309 |
Aqua America, Inc. |
1,722,414 |
|||||||||
23,052 |
Atmos Energy Corp. |
1,680,491 |
|||||||||
28,955 |
Black Hills Corp. |
1,752,936 |
|||||||||
83,934 |
MDU Resources Group, Inc. |
1,919,571 |
|||||||||
31,125 |
National Fuel Gas Co. |
1,711,875 |
|||||||||
65,721 |
Questar Corp. |
1,656,826 |
|||||||||
41,221 |
UGI Corp. |
1,769,205 |
|||||||||
34,506 |
Vectren Corp. |
1,714,258 |
|||||||||
24,725 |
WGL Holdings, Inc. |
1,612,812 |
|||||||||
15,540,388 |
|||||||||||
Total Common
Stocks (Cost $73,731,442) |
77,626,499 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.1% |
|||||||||||
$ |
115,534 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $115,534 |
115,534 |
||||||||
Total Repurchase Agreements (Cost $115,534) |
115,534 |
||||||||||
Total Investment
Securities (Cost $73,846,976) � 99.9% |
77,742,033 |
||||||||||
Other assets less liabilities � 0.1% |
87,491 |
||||||||||
Net Assets � 100.0% |
$ |
77,829,524 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: S&P MIDCAP 400 DIVIDEND ARISTOCRATS ETF REGL :: 13
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,147,683 |
|||||
Aggregate gross unrealized depreciation |
(303,877 |
) |
|||||
Net unrealized appreciation |
$ |
3,843,806 |
|||||
Federal income tax cost of investments |
$ |
73,898,227 |
See accompanying notes to the financial statements.
14 :: REGL S&P MIDCAP 400 DIVIDEND ARISTOCRATS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 99.8% |
|||||||||||
Consumer Discretionary � 5.0% |
|||||||||||
9,484 |
Cracker Barrel Old Country
Store, Inc. |
$ |
1,436,636 |
||||||||
39,472 |
International Speedway Corp., Class A |
1,305,734 |
|||||||||
31,271 |
Meredith Corp. |
1,547,915 |
|||||||||
4,290,285 |
|||||||||||
Consumer Staples � 14.3% |
|||||||||||
47,596 |
Andersons, Inc. (The) |
1,702,985 |
|||||||||
26,185 |
Calavo Growers, Inc. |
1,482,333 |
|||||||||
13,258 |
Casey's General Stores, Inc. |
1,593,744 |
|||||||||
13,813 |
J&J Snack Foods Corp. |
1,457,271 |
|||||||||
13,650 |
Lancaster Colony Corp. |
1,654,790 |
|||||||||
42,353 |
Tootsie Roll Industries, Inc. |
1,515,814 |
|||||||||
26,131 |
Universal Corp. |
1,429,366 |
|||||||||
63,675 |
Vector Group Ltd. |
1,367,102 |
|||||||||
12,203,405 |
|||||||||||
Financials � 21.5% |
|||||||||||
88,081 |
American Equity Investment Life Holding Co. |
1,427,793 |
|||||||||
37,212 |
Community Bank System, Inc. |
1,534,623 |
|||||||||
18,605 |
Infinity Property & Casualty Corp. |
1,449,888 |
|||||||||
22,221 |
National Health Investors, Inc. (REIT) |
1,551,692 |
|||||||||
31,265 |
Prosperity Bancshares, Inc. |
1,683,620 |
|||||||||
21,594 |
RLI Corp. |
1,427,579 |
|||||||||
57,209 |
Southside Bancshares, Inc. |
1,687,079 |
|||||||||
27,352 |
UMB Financial Corp. |
1,574,108 |
|||||||||
39,249 |
United Bankshares, Inc./WV |
1,562,503 |
|||||||||
26,576 |
Universal Health Realty
Income Trust (REIT) |
1,421,816 |
|||||||||
71,239 |
Urstadt Biddle Properties, Inc., Class A (REIT) |
1,507,417 |
|||||||||
29,740 |
Westamerica Bancorp. |
1,446,851 |
|||||||||
18,274,969 |
|||||||||||
Health Care � 5.3% |
|||||||||||
3,738 |
Atrion Corp. |
1,468,025 |
|||||||||
36,835 |
Owens & Minor, Inc. |
1,373,577 |
|||||||||
22,249 |
West Pharmaceutical Services, Inc. |
1,670,455 |
|||||||||
4,512,057 |
|||||||||||
Industrials � 20.5% |
|||||||||||
45,772 |
ABM Industries, Inc. |
1,564,029 |
|||||||||
52,920 |
Brady Corp., Class A |
1,682,327 |
|||||||||
24,928 |
CLARCOR, Inc. |
1,478,230 |
|||||||||
44,705 |
Franklin Electric Co., Inc. |
1,492,253 |
|||||||||
40,795 |
Healthcare Services Group, Inc. |
1,591,005 |
|||||||||
24,246 |
HEICO Corp. |
1,613,571 |
|||||||||
18,774 |
Lindsay Corp. |
1,339,337 |
|||||||||
29,166 |
Matthews International Corp., Class A |
1,600,338 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
57,720 |
McGrath RentCorp |
$ |
1,646,752 |
||||||||
30,237 |
MSA Safety, Inc. |
1,523,038 |
|||||||||
93,030 |
Raven Industries, Inc. |
1,875,485 |
|||||||||
17,406,365 |
|||||||||||
Information Technology � 1.9% |
|||||||||||
22,103 |
Badger Meter, Inc. |
1,657,725 |
|||||||||
Materials � 3.7% |
|||||||||||
35,874 |
H.B. Fuller Co. |
1,638,007 |
|||||||||
26,640 |
Stepan Co. |
1,536,861 |
|||||||||
3,174,868 |
|||||||||||
Telecommunication Services � 1.8% |
|||||||||||
20,045 |
Atlantic Tele-Network, Inc. |
1,493,152 |
|||||||||
Utilities � 25.8% |
|||||||||||
25,312 |
ALLETE, Inc. |
1,461,515 |
|||||||||
36,901 |
American States Water Co. |
1,441,353 |
|||||||||
36,777 |
Avista Corp. |
1,479,171 |
|||||||||
24,557 |
Black Hills Corp. |
1,486,681 |
|||||||||
56,404 |
California Water Service Group |
1,644,176 |
|||||||||
24,348 |
Chesapeake Utilities Corp. |
1,404,636 |
|||||||||
28,860 |
MGE Energy, Inc. |
1,463,490 |
|||||||||
41,778 |
New Jersey Resources Corp. |
1,468,497 |
|||||||||
28,012 |
Northwest Natural Gas Co. |
1,537,859 |
|||||||||
24,098 |
NorthWestern Corp. |
1,396,720 |
|||||||||
24,319 |
Piedmont Natural Gas Co., Inc. |
1,460,599 |
|||||||||
40,924 |
SJW Corp. |
1,411,469 |
|||||||||
53,288 |
South Jersey Industries, Inc. |
1,539,490 |
|||||||||
22,091 |
Spire, Inc. |
1,404,546 |
|||||||||
20,790 |
WGL Holdings, Inc. |
1,356,132 |
|||||||||
21,956,334 |
|||||||||||
Total Common
Stocks (Cost $80,418,044) |
84,969,160 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.1% |
|||||||||||
$ |
48,156 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $48,156 |
48,156 |
||||||||
Total Repurchase Agreements (Cost $48,156) |
48,156 |
||||||||||
Total Investment
Securities (Cost $80,466,200) � 99.9% |
85,017,316 |
||||||||||
Other assets less liabilities � 0.1% |
71,933 |
||||||||||
Net Assets � 100.0% |
$ |
85,089,249 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: RUSSELL 2000 DIVIDEND GROWERS ETF SMDV :: 15
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,851,609 |
|||||
Aggregate gross unrealized depreciation |
(324,564 |
) |
|||||
Net unrealized appreciation |
$ |
4,527,045 |
|||||
Federal income tax cost of investments |
$ |
80,490,271 |
See accompanying notes to the financial statements.
16 :: SMDV RUSSELL 2000 DIVIDEND GROWERS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 99.3% |
|||||||||||
Consumer Discretionary � 12.5% |
|||||||||||
29,481 |
Compass Group PLC |
$ |
552,246 |
||||||||
6,925 |
Next PLC |
548,316 |
|||||||||
45,994 |
Pearson PLC |
561,328 |
|||||||||
22,065 |
SES S.A. (FDR) |
494,471 |
|||||||||
4,257 |
Shimamura Co. Ltd. |
552,733 |
|||||||||
40,076 |
Sky PLC |
562,015 |
|||||||||
23,660 |
WPP PLC |
548,239 |
|||||||||
3,819,348 |
|||||||||||
Consumer Staples � 17.9% |
|||||||||||
12,794 |
Associated British Foods PLC |
548,222 |
|||||||||
9,033 |
British American Tobacco PLC |
551,933 |
|||||||||
7 |
Chocoladefabriken Lindt & Spruengli AG |
517,501 |
|||||||||
91 |
Chocoladefabriken Lindt
& Spruengli AG, Class PC |
560,627 |
|||||||||
20,303 |
Diageo PLC |
552,752 |
|||||||||
10,030 |
FamilyMart Co. Ltd. |
526,348 |
|||||||||
6,091 |
Kerry Group PLC, Class A |
549,923 |
|||||||||
3,037 |
L'Oreal S.A. |
571,041 |
|||||||||
7,376 |
Nestle S.A. |
544,557 |
|||||||||
33,736 |
Woolworths Ltd. |
540,614 |
|||||||||
5,463,518 |
|||||||||||
Energy � 1.8% |
|||||||||||
33,917 |
Statoil ASA |
541,008 |
|||||||||
Financials � 7.3% |
|||||||||||
137,111 |
Aberdeen Asset Management PLC |
556,986 |
|||||||||
6,655 |
Groupe Bruxelles Lambert S.A. |
566,097 |
|||||||||
125,912 |
Mitsubishi UFJ Lease & Finance Co. Ltd. |
541,545 |
|||||||||
28,513 |
Prudential PLC |
572,709 |
|||||||||
2,237,337 |
|||||||||||
Health Care � 25.7% |
|||||||||||
7,262 |
Coloplast A/S, Class B |
549,942 |
|||||||||
4,280 |
Essilor International S.A. |
559,139 |
|||||||||
6,576 |
Fresenius Medical Care AG & Co. KGaA |
571,017 |
|||||||||
410 |
Galenica AG |
541,470 |
|||||||||
12,992 |
Miraca Holdings, Inc. |
548,826 |
|||||||||
7,226 |
Novartis AG |
573,457 |
|||||||||
10,008 |
Novo Nordisk A/S, Class B |
556,886 |
|||||||||
10,609 |
Ramsay Health Care Ltd. |
559,134 |
|||||||||
2,201 |
Roche Holding AG |
577,591 |
|||||||||
83,252 |
Ryman Healthcare Ltd. |
540,712 |
|||||||||
6,963 |
Sanofi |
571,212 |
|||||||||
8,976 |
Shire PLC |
556,551 |
|||||||||
7,756 |
Sysmex Corp. |
566,463 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
10,432 |
Teva Pharmaceutical Industries Ltd. |
$ |
542,073 |
||||||||
7,814,473 |
|||||||||||
Industrials � 16.1% |
|||||||||||
35,266 |
Abertis Infraestructuras S.A. |
540,216 |
|||||||||
33,282 |
Aggreko PLC |
544,488 |
|||||||||
39,038 |
Ashtead Group PLC |
554,561 |
|||||||||
37,683 |
Babcock International Group PLC |
568,770 |
|||||||||
77,234 |
BAE Systems PLC |
543,634 |
|||||||||
18,455 |
Bunzl PLC |
549,044 |
|||||||||
34,755 |
Capita PLC |
538,234 |
|||||||||
227,140 |
Cobham PLC |
538,882 |
|||||||||
11,340 |
Intertek Group PLC |
517,773 |
|||||||||
4,895,602 |
|||||||||||
Information Technology � 1.9% |
|||||||||||
39,903 |
ARM Holdings PLC |
573,238 |
|||||||||
Materials � 7.1% |
|||||||||||
45,305 |
BHP Billiton PLC |
542,698 |
|||||||||
12,495 |
Croda International PLC |
534,682 |
|||||||||
13,221 |
Fuchs Petrolub SE (Preference) |
538,468 |
|||||||||
11,267 |
Novozymes A/S, Class B |
536,223 |
|||||||||
2,152,071 |
|||||||||||
Utilities � 9.0% |
|||||||||||
83,288 |
APA Group |
529,164 |
|||||||||
57,961 |
Cheung Kong Infrastructure
Holdings Ltd. |
542,441 |
|||||||||
18,293 |
Enagas S.A. |
548,625 |
|||||||||
6,308 |
Red Electrica Corp. S.A. |
562,071 |
|||||||||
24,673 |
SSE PLC |
550,165 |
|||||||||
2,732,466 |
|||||||||||
Total Common Stocks (Cost $30,821,376) |
30,229,061 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.2% |
|||||||||||
$ |
47,195 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $47,195 |
47,195 |
||||||||
Total Repurchase Agreements
(Cost $47,195) |
47,195 |
||||||||||
Total Investment Securities (Cost $30,868,571) � 99.5% |
30,276,256 |
||||||||||
Other assets less liabilities � 0.5% |
144,692 |
||||||||||
Net Assets � 100.0% |
$ |
30,420,948 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: MSCI EAFE DIVIDEND GROWERS ETF EFAD :: 17
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
FDR Finnish Depositary Receipt
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
869,236 |
|||||
Aggregate gross unrealized depreciation |
(1,515,983 |
) |
|||||
Net unrealized depreciation |
$ |
(646,747 |
) |
||||
Federal income tax cost of investments |
$ |
30,923,003 |
MSCI EAFE Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
United Kingdom |
41.6 |
% |
|||||
Switzerland |
10.9 |
% |
|||||
Japan |
9.0 |
% |
|||||
France |
7.2 |
% |
|||||
Spain |
5.4 |
% |
|||||
Denmark |
5.4 |
% |
|||||
Australia |
5.3 |
% |
|||||
Germany |
3.6 |
% |
|||||
Belgium |
1.9 |
% |
|||||
Ireland |
1.8 |
% |
|||||
Hong Kong |
1.8 |
% |
|||||
Israel |
1.8 |
% |
|||||
Norway |
1.8 |
% |
|||||
New Zealand |
1.8 |
% |
|||||
Other1 |
0.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
18 :: EFAD MSCI EAFE DIVIDEND GROWERS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 99.3% |
|||||||||||
Consumer Discretionary � 14.4% |
|||||||||||
7,503 |
Compass Group PLC |
$ |
140,548 |
||||||||
1,763 |
Next PLC |
139,593 |
|||||||||
11,705 |
Pearson PLC |
142,852 |
|||||||||
5,614 |
SES S.A. (FDR) |
125,808 |
|||||||||
10,199 |
Sky PLC |
143,028 |
|||||||||
3,593 |
Wolters Kluwer N.V. |
143,297 |
|||||||||
6,020 |
WPP PLC |
139,493 |
|||||||||
974,619 |
|||||||||||
Consumer Staples � 18.5% |
|||||||||||
3,256 |
Associated British Foods PLC |
139,519 |
|||||||||
2,299 |
British American Tobacco PLC |
140,473 |
|||||||||
1 |
Chocoladefabriken Lindt & Spruengli AG |
73,929 |
|||||||||
32 |
Chocoladefabriken Lindt
& Spruengli AG, Class PC |
197,143 |
|||||||||
5,166 |
Diageo PLC |
140,645 |
|||||||||
1,550 |
Kerry Group PLC, Class A |
139,941 |
|||||||||
6,475 |
Koninklijke Ahold N.V. |
143,517 |
|||||||||
772 |
L'Oreal S.A. |
145,158 |
|||||||||
1,877 |
Nestle S.A. |
138,576 |
|||||||||
1,258,901 |
|||||||||||
Energy � 2.0% |
|||||||||||
8,631 |
Statoil ASA |
137,673 |
|||||||||
Financials � 8.5% |
|||||||||||
34,892 |
Aberdeen Asset Management PLC |
141,742 |
|||||||||
1,694 |
Groupe Bruxelles Lambert S.A. |
144,097 |
|||||||||
7,257 |
Prudential PLC |
145,763 |
|||||||||
1,583 |
Swiss Re AG |
142,187 |
|||||||||
573,789 |
|||||||||||
Health Care � 21.1% |
|||||||||||
1,848 |
Coloplast A/S, Class B |
139,947 |
|||||||||
1,086 |
Essilor International S.A. |
141,875 |
|||||||||
1,674 |
Fresenius Medical Care
AG & Co. KGaA |
145,359 |
|||||||||
1,922 |
Fresenius SE & Co. KGaA |
145,134 |
|||||||||
105 |
Galenica AG |
138,669 |
|||||||||
1,838 |
Novartis AG |
145,864 |
|||||||||
2,548 |
Novo Nordisk A/S, Class B |
141,781 |
|||||||||
560 |
Roche Holding AG |
146,956 |
|||||||||
1,772 |
Sanofi |
145,367 |
|||||||||
2,284 |
Shire PLC |
141,618 |
|||||||||
1,432,570 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Industrials � 18.4% |
|||||||||||
9,009 |
Abertis Infraestructuras S.A. |
$ |
138,003 |
||||||||
8,470 |
Aggreko PLC |
138,568 |
|||||||||
9,934 |
Ashtead Group PLC |
141,119 |
|||||||||
9,590 |
Babcock International Group PLC |
144,747 |
|||||||||
19,654 |
BAE Systems PLC |
138,340 |
|||||||||
4,696 |
Bunzl PLC |
139,708 |
|||||||||
8,844 |
Capita PLC |
136,963 |
|||||||||
57,804 |
Cobham PLC |
137,138 |
|||||||||
2,886 |
Intertek Group PLC |
131,772 |
|||||||||
1,246,358 |
|||||||||||
Information Technology � 2.1% |
|||||||||||
10,154 |
ARM Holdings PLC |
145,870 |
|||||||||
Materials � 8.1% |
|||||||||||
11,530 |
BHP Billiton PLC |
138,115 |
|||||||||
3,165 |
Croda International PLC |
135,436 |
|||||||||
3,364 |
Fuchs Petrolub SE (Preference) |
137,010 |
|||||||||
2,867 |
Novozymes A/S, Class B |
136,447 |
|||||||||
547,008 |
|||||||||||
Utilities � 6.2% |
|||||||||||
4,654 |
Enagas S.A. |
139,578 |
|||||||||
1,605 |
Red Electrica Corp. S.A. |
143,013 |
|||||||||
6,278 |
SSE PLC |
139,988 |
|||||||||
422,579 |
|||||||||||
Total Common Stocks (Cost $6,813,161) |
6,739,367 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 0.0% � |
|||||||||||
$ |
3,346 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $3,346 |
3,346 |
||||||||
Total Repurchase Agreements
(Cost $3,346) |
3,346 |
||||||||||
Total Investment Securities (Cost $6,816,507) � 99.3% |
6,742,713 |
||||||||||
Other assets less liabilities � 0.7% |
44,525 |
||||||||||
Net Assets � 100.0% |
$ |
6,787,238 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: MSCI EUROPE DIVIDEND GROWERS ETF EUDV :: 19
� Amount represents less than 0.05%.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
FDR Finnish Depositary Receipt
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
111,955 |
|||||
Aggregate gross unrealized depreciation |
(192,023 |
) |
|||||
Net unrealized depreciation |
$ |
(80,068 |
) |
||||
Federal income tax cost of investments |
$ |
6,822,781 |
MSCI Europe Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
United Kingdom |
47.5 |
% |
|||||
Switzerland |
14.5 |
% |
|||||
France |
8.2 |
% |
|||||
Germany |
6.3 |
% |
|||||
Spain |
6.2 |
% |
|||||
Denmark |
6.2 |
% |
|||||
Netherlands |
4.2 |
% |
|||||
Belgium |
2.1 |
% |
|||||
Ireland |
2.1 |
% |
|||||
Norway |
2.0 |
% |
|||||
Other1 |
0.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
20 :: EUDV MSCI EUROPE DIVIDEND GROWERS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 99.2% |
|||||||||||
Consumer Discretionary � 12.7% |
|||||||||||
232,247 |
Belle International Holdings Ltd. |
$ |
136,286 |
||||||||
188,520 |
Great Wall Motor Co. Ltd., Class H |
145,076 |
|||||||||
3,459 |
Hyundai Motor Co. (Preference) |
296,047 |
|||||||||
36,269 |
Merida Industry Co. Ltd. |
152,917 |
|||||||||
12,776 |
Mr Price Group Ltd. |
149,983 |
|||||||||
22,208 |
Truworths International Ltd. |
132,856 |
|||||||||
1,013,165 |
|||||||||||
Consumer Staples � 14.0% |
|||||||||||
26,466 |
Ambev S.A. (ADR) |
139,211 |
|||||||||
6,795 |
BIM Birlesik Magazalar AS |
133,271 |
|||||||||
5,121 |
Dongsuh Cos., Inc. |
143,086 |
|||||||||
15,984 |
Hengan International Group Co. Ltd. |
144,192 |
|||||||||
28,842 |
ITC Ltd. |
150,479 |
|||||||||
13,040 |
Shoprite Holdings Ltd. |
136,828 |
|||||||||
10,366 |
SPAR Group Ltd. (The) |
133,451 |
|||||||||
43,273 |
Unilever Indonesia Tbk PT |
136,535 |
|||||||||
1,117,053 |
|||||||||||
Energy � 6.6% |
|||||||||||
176,895 |
China Oilfield Services Ltd., Class H |
134,536 |
|||||||||
3,392 |
Lukoil PJSC |
130,726 |
|||||||||
21,617 |
Qatar Gas Transport Co. Ltd. |
138,828 |
|||||||||
26,043 |
Rosneft OAO |
123,410 |
|||||||||
527,500 |
|||||||||||
Financials � 29.8% |
|||||||||||
127,907 |
AMMB Holdings Bhd |
133,514 |
|||||||||
3,920 |
Bancolombia S.A. (ADR) |
127,635 |
|||||||||
142,742 |
Bank Central Asia Tbk PT |
135,845 |
|||||||||
3,972 |
Capitec Bank Holdings Ltd. |
150,373 |
|||||||||
48,799 |
China Overseas Land &
Investment Ltd. |
146,634 |
|||||||||
33,286 |
Coronation Fund Managers Ltd. |
143,765 |
|||||||||
18,452 |
Discovery Ltd. |
141,135 |
|||||||||
42,893 |
First Gulf Bank PJSC |
138,380 |
|||||||||
77,564 |
Gentera SAB de CV |
141,245 |
|||||||||
11,111 |
Grupo de Inversiones Suramericana S.A. |
133,720 |
|||||||||
79,885 |
Grupo Financiero Inbursa
SAB de CV, Class O |
133,223 |
|||||||||
7,829 |
Housing Development Finance Corp. Ltd. |
144,014 |
|||||||||
20,246 |
LIC Housing Finance Ltd. |
141,648 |
|||||||||
31,339 |
Mahindra & Mahindra Financial Services Ltd. |
149,767 |
|||||||||
54,407 |
Power Finance Corp. Ltd. |
132,369 |
|||||||||
17,052 |
Resilient REIT Ltd. (REIT) |
141,168 |
|||||||||
45,900 |
Shanghai Lujiazui Finance
& Trade Zone Development Co. Ltd., Class B |
140,959 |
|||||||||
2,375,394 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Health Care � 3.3% |
|||||||||||
204,894 |
Bangkok Dusit Medical
Services PCL, Class F |
$ |
138,221 |
||||||||
5,561 |
Lupin Ltd. |
121,886 |
|||||||||
260,107 |
|||||||||||
Industrials � 4.4% |
|||||||||||
6,188 |
Bidvest Group Ltd. (The) |
49,370 |
|||||||||
136,774 |
China Everbright International Ltd. |
146,618 |
|||||||||
7,288 |
Larsen & Toubro Ltd. (GDR) |
158,878 |
|||||||||
354,866 |
|||||||||||
Information Technology � 14.2% |
|||||||||||
59,938 |
Chicony Electronics Co. Ltd. |
144,458 |
|||||||||
63,266 |
Foxconn Technology Co. Ltd. |
144,525 |
|||||||||
7,290 |
Infosys Ltd. (ADR) |
141,718 |
|||||||||
211,850 |
Lenovo Group Ltd. |
130,042 |
|||||||||
41,862 |
Simplo Technology Co. Ltd. |
140,556 |
|||||||||
3,600 |
Tata Consultancy Services Ltd. |
137,472 |
|||||||||
6,752 |
Tencent Holdings Ltd. |
150,580 |
|||||||||
85,809 |
Vanguard International
Semiconductor Corp. |
140,768 |
|||||||||
1,130,119 |
|||||||||||
Materials � 5.3% |
|||||||||||
9,621 |
Asian Paints Ltd. |
140,822 |
|||||||||
24,047 |
Grupo Argos S.A. |
134,433 |
|||||||||
119,297 |
Indocement Tunggal Prakarsa Tbk PT |
145,410 |
|||||||||
420,665 |
|||||||||||
Telecommunication Services � 1.8% |
|||||||||||
31,260 |
Advanced Info Service PCL |
144,378 |
|||||||||
Utilities � 7.1% |
|||||||||||
100,441 |
China Gas Holdings Ltd. |
142,181 |
|||||||||
332,718 |
China Power International Development Ltd. |
140,439 |
|||||||||
48,575 |
China Resources Gas Group Ltd. |
135,959 |
|||||||||
28,952 |
ENN Energy Holdings Ltd. |
143,628 |
|||||||||
562,207 |
|||||||||||
Total Common Stocks (Cost $7,588,680) |
7,905,454 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: MSCI EMERGING MARKETS DIVIDEND GROWERS ETF EMDV :: 21
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 0.4% |
|||||||||||
$ |
28,431 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $28,431 |
$ |
28,431 |
|||||||
Total Repurchase Agreements
(Cost $28,431) |
28,431 |
||||||||||
Total Investment Securities (Cost $7,617,111) � 99.6% |
7,933,885 |
||||||||||
Other assets less liabilities � 0.4% |
31,063 |
||||||||||
Net Assets � 100.0% |
$ |
7,964,948 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
GDR Global Depositary Receipt
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
449,479 |
|||||
Aggregate gross unrealized depreciation |
(132,705 |
) |
|||||
Net unrealized appreciation |
$ |
316,774 |
|||||
Federal income tax cost of investments |
$ |
7,617,111 |
MSCI Emerging Markets Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
China |
23.1 |
% |
|||||
India |
17.8 |
% |
|||||
South Africa |
14.8 |
% |
|||||
Taiwan |
9.1 |
% |
|||||
South Korea |
5.5 |
% |
|||||
Indonesia |
5.2 |
% |
|||||
Colombia |
5.0 |
% |
|||||
Thailand |
3.6 |
% |
|||||
Mexico |
3.4 |
% |
|||||
Russia |
3.2 |
% |
|||||
Brazil |
1.7 |
% |
|||||
Qatar |
1.7 |
% |
|||||
United Arab Emirates |
1.7 |
% |
|||||
Malaysia |
1.7 |
% |
|||||
Turkey |
1.7 |
% |
|||||
Other1 |
0.8 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
22 :: EMDV MSCI EMERGING MARKETS DIVIDEND GROWERS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 99.7% |
|||||||||||||||
308 |
3M Co. (Industrials) |
0.6 |
% |
$ |
51,843 |
||||||||||
821 |
AbbVie, Inc. (Health Care) |
0.6 |
% |
51,666 |
|||||||||||
320 |
Accenture PLC, Class A (Information Technology) |
0.4 |
% |
38,070 |
|||||||||||
201 |
Allergan PLC*
(Health Care) |
0.5 |
% |
47,386 |
|||||||||||
149 |
Alphabet, Inc., Class A* (Information Technology) |
1.3 |
% |
111,579 |
|||||||||||
151 |
Alphabet, Inc., Class C*
(Information Technology) |
1.3 |
% |
111,094 |
|||||||||||
997 |
Altria Group, Inc. (Consumer Staples) |
0.7 |
% |
63,449 |
|||||||||||
197 |
Amazon.com, Inc.*
(Consumer Discretionary) |
1.6 |
% |
142,390 |
|||||||||||
383 |
Amgen, Inc. (Health Care) |
0.7 |
% |
60,495 |
|||||||||||
2,825 |
Apple, Inc.
(Information Technology) |
3.3 |
% |
282,104 |
|||||||||||
3,134 |
AT&T, Inc. (Telecommunication Services) |
1.4 |
% |
122,696 |
|||||||||||
5,260 |
Bank of America Corp.
(Financials) |
0.9 |
% |
77,795 |
|||||||||||
954 |
Berkshire Hathaway, Inc., Class B* (Financials) |
1.5 |
% |
134,075 |
|||||||||||
317 |
Boeing Co. (The)
(Industrials) |
0.5 |
% |
39,990 |
|||||||||||
850 |
Bristol-Myers Squibb Co. (Health Care) |
0.7 |
% |
60,945 |
|||||||||||
398 |
Celgene Corp.*
(Health Care) |
0.5 |
% |
41,997 |
|||||||||||
2,564 |
Cisco Systems, Inc. (Information Technology) |
0.9 |
% |
74,484 |
|||||||||||
1,502 |
Citigroup, Inc. (Financials) |
0.8 |
% |
69,948 |
|||||||||||
1,985 |
Coca-Cola Co. (The) (Consumer Staples) |
1.0 |
% |
88,531 |
|||||||||||
1,239 |
Comcast Corp., Class A
(Consumer Discretionary) |
0.9 |
% |
78,429 |
|||||||||||
560 |
CVS Health Corp. (Consumer Staples) |
0.6 |
% |
54,012 |
|||||||||||
1,169 |
Facebook, Inc., Class A*
(Information Technology) |
1.6 |
% |
138,889 |
|||||||||||
4,753 |
General Electric Co. (Industrials) |
1.7 |
% |
143,683 |
|||||||||||
696 |
Gilead Sciences, Inc.
(Health Care) |
0.7 |
% |
60,594 |
|||||||||||
646 |
Home Depot, Inc. (The) (Consumer Discretionary) |
1.0 |
% |
85,349 |
|||||||||||
392 |
Honeywell International,
Inc. (Industrials) |
0.5 |
% |
44,621 |
|||||||||||
2,407 |
Intel Corp. (Information Technology) |
0.9 |
% |
76,037 |
|||||||||||
450 |
International Business
Machines Corp. (Information Technology) |
0.8 |
% |
69,183 |
|||||||||||
1,406 |
Johnson & Johnson (Health Care) |
1.8 |
% |
158,442 |
|||||||||||
1,870 |
JPMorgan Chase & Co.
(Financials) |
1.4 |
% |
122,055 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
500 |
MasterCard, Inc., Class A (Information Technology) |
0.6 |
% |
$ |
47,950 |
||||||||||
459 |
McDonald's Corp.
(Consumer Discretionary) |
0.6 |
% |
56,026 |
|||||||||||
716 |
Medtronic PLC (Health Care) |
0.7 |
% |
57,624 |
|||||||||||
1,414 |
Merck & Co., Inc.
(Health Care) |
0.9 |
% |
79,552 |
|||||||||||
4,029 |
Microsoft Corp. (Information Technology) |
2.5 |
% |
213,537 |
|||||||||||
1,605 |
Oracle Corp.
(Information Technology) |
0.7 |
% |
64,521 |
|||||||||||
736 |
PepsiCo, Inc. (Consumer Staples) |
0.9 |
% |
74,461 |
|||||||||||
3,081 |
Pfizer, Inc. (Health Care) |
1.2 |
% |
106,911 |
|||||||||||
789 |
Philip Morris International, Inc. (Consumer Staples) |
0.9 |
% |
77,859 |
|||||||||||
1,351 |
Procter & Gamble Co.
(The) (Consumer Staples) |
1.3 |
% |
109,485 |
|||||||||||
762 |
QUALCOMM, Inc. (Information Technology) |
0.5 |
% |
41,849 |
|||||||||||
753 |
Starbucks Corp.
(Consumer Discretionary) |
0.5 |
% |
41,332 |
|||||||||||
396 |
United Technologies Corp. (Industrials) |
0.5 |
% |
39,830 |
|||||||||||
484 |
UnitedHealth Group, Inc.
(Health Care) |
0.7 |
% |
64,696 |
|||||||||||
2,075 |
Verizon Communications, Inc. (Telecommunication Services) |
1.2 |
% |
105,617 |
|||||||||||
978 |
Visa, Inc., Class A
(Information Technology) |
0.9 |
% |
77,203 |
|||||||||||
799 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.6 |
% |
56,553 |
|||||||||||
765 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.9 |
% |
75,903 |
|||||||||||
2,354 |
Wells Fargo & Co. (Financials) |
1.4 |
% |
119,395 |
|||||||||||
78,127 |
Other Common Stocks |
51.1 |
% |
4,426,572 |
|||||||||||
Total Common Stocks (Cost $8,115,029) |
8,638,707 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a) � 0.1% |
|||||||||||||||
$ |
11,258 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/2016, due 06/01/2016, total to be received $11,258 |
11,258 |
||||||||||||
Total Repurchase Agreements
(Cost $11,258) |
11,258 |
||||||||||||||
Total Investment Securities (Cost $8,126,287) � 99.8% |
8,649,965 |
||||||||||||||
Other assets less liabilities � 0.2% |
14,237 |
||||||||||||||
Net Assets � 100.0% |
$ |
8,664,202 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: S&P 500� EX-ENERGY ETF SPXE :: 23
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
661,213 |
|||||
Aggregate gross unrealized depreciation |
(138,646 |
) |
|||||
Net unrealized appreciation |
$ |
522,567 |
|||||
Federal income tax cost of investments |
$ |
8,127,398 |
S&P 500� Ex-Energy ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
13.5 |
% |
|||||
Consumer Staples |
10.8 |
% |
|||||
Financials |
17.5 |
% |
|||||
Health Care |
15.8 |
% |
|||||
Industrials |
10.8 |
% |
|||||
Information Technology |
21.9 |
% |
|||||
Materials |
3.0 |
% |
|||||
Telecommunication Services |
2.8 |
% |
|||||
Utilities |
3.6 |
% |
|||||
Other1 |
0.3 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
24 :: SPXE S&P 500� EX-ENERGY ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 99.5% |
|||||||||||||||
85 |
3M Co. (Industrials) |
0.7 |
% |
$ |
14,307 |
||||||||||
228 |
AbbVie, Inc. (Health Care) |
0.7 |
% |
14,348 |
|||||||||||
89 |
Accenture PLC, Class A (Information Technology) |
0.5 |
% |
10,588 |
|||||||||||
56 |
Allergan PLC* (Health Care) |
0.6 |
% |
13,202 |
|||||||||||
41 |
Alphabet, Inc., Class A* (Information Technology) |
1.4 |
% |
30,703 |
|||||||||||
42 |
Alphabet, Inc., Class C*
(Information Technology) |
1.4 |
% |
30,900 |
|||||||||||
277 |
Altria Group, Inc. (Consumer Staples) |
0.8 |
% |
17,628 |
|||||||||||
55 |
Amazon.com, Inc.*
(Consumer Discretionary) |
1.8 |
% |
39,753 |
|||||||||||
106 |
Amgen, Inc. (Health Care) |
0.8 |
% |
16,743 |
|||||||||||
783 |
Apple, Inc. (Information
Technology) |
3.6 |
% |
78,190 |
|||||||||||
869 |
AT&T, Inc. (Telecommunication Services) |
1.6 |
% |
34,021 |
|||||||||||
88 |
Boeing Co. (The)
(Industrials) |
0.5 |
% |
11,101 |
|||||||||||
236 |
Bristol-Myers Squibb Co. (Health Care) |
0.8 |
% |
16,921 |
|||||||||||
110 |
Celgene Corp.* (Health Care) |
0.5 |
% |
11,607 |
|||||||||||
266 |
Chevron Corp. (Energy) |
1.2 |
% |
26,866 |
|||||||||||
711 |
Cisco Systems, Inc.
(Information Technology) |
1.0 |
% |
20,655 |
|||||||||||
550 |
Coca-Cola Co. (The) (Consumer Staples) |
1.1 |
% |
24,530 |
|||||||||||
344 |
Comcast Corp., Class A
(Consumer Discretionary) |
1.0 |
% |
21,775 |
|||||||||||
155 |
CVS Health Corp. (Consumer Staples) |
0.7 |
% |
14,950 |
|||||||||||
587 |
Exxon Mobil Corp. (Energy) |
2.4 |
% |
52,255 |
|||||||||||
324 |
Facebook, Inc., Class A* (Information Technology) |
1.8 |
% |
38,494 |
|||||||||||
1,318 |
General Electric Co.
(Industrials) |
1.8 |
% |
39,843 |
|||||||||||
193 |
Gilead Sciences, Inc. (Health Care) |
0.8 |
% |
16,803 |
|||||||||||
179 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
1.1 |
% |
23,649 |
|||||||||||
109 |
Honeywell International, Inc. (Industrials) |
0.6 |
% |
12,407 |
|||||||||||
667 |
Intel Corp. (Information
Technology) |
1.0 |
% |
21,071 |
|||||||||||
125 |
International Business Machines Corp. (Information Technology) |
0.9 |
% |
19,217 |
|||||||||||
390 |
Johnson & Johnson
(Health Care) |
2.0 |
% |
43,949 |
|||||||||||
129 |
Lowe's Cos., Inc. (Consumer Discretionary) |
0.5 |
% |
10,337 |
|||||||||||
139 |
MasterCard, Inc., Class A
(Information Technology) |
0.6 |
% |
13,330 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
127 |
McDonald's Corp. (Consumer Discretionary) |
0.7 |
% |
$ |
15,502 |
||||||||||
199 |
Medtronic PLC (Health Care) |
0.7 |
% |
16,016 |
|||||||||||
392 |
Merck & Co., Inc. (Health Care) |
1.0 |
% |
22,054 |
|||||||||||
1,117 |
Microsoft Corp.
(Information Technology) |
2.7 |
% |
59,201 |
|||||||||||
191 |
NIKE, Inc., Class B (Consumer Discretionary) |
0.5 |
% |
10,547 |
|||||||||||
445 |
Oracle Corp.
(Information Technology) |
0.8 |
% |
17,889 |
|||||||||||
204 |
PepsiCo, Inc. (Consumer Staples) |
1.0 |
% |
20,639 |
|||||||||||
854 |
Pfizer, Inc. (Health Care) |
1.4 |
% |
29,634 |
|||||||||||
219 |
Philip Morris International, Inc. (Consumer Staples) |
1.0 |
% |
21,611 |
|||||||||||
375 |
Procter & Gamble Co.
(The) (Consumer Staples) |
1.4 |
% |
30,390 |
|||||||||||
211 |
QUALCOMM, Inc. (Information Technology) |
0.5 |
% |
11,588 |
|||||||||||
196 |
Schlumberger Ltd. (Energy) |
0.7 |
% |
14,955 |
|||||||||||
209 |
Starbucks Corp. (Consumer Discretionary) |
0.5 |
% |
11,472 |
|||||||||||
110 |
United Technologies Corp.
(Industrials) |
0.5 |
% |
11,064 |
|||||||||||
134 |
UnitedHealth Group, Inc. (Health Care) |
0.8 |
% |
17,912 |
|||||||||||
575 |
Verizon Communications,
Inc. (Telecommunication Services) |
1.4 |
% |
29,268 |
|||||||||||
271 |
Visa, Inc., Class A (Information Technology) |
1.0 |
% |
21,393 |
|||||||||||
222 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.7 |
% |
15,713 |
|||||||||||
212 |
Walt Disney Co. (The) (Consumer Discretionary) |
1.0 |
% |
21,035 |
|||||||||||
18,544 |
Other Common Stocks |
47.0 |
% |
1,019,896 |
|||||||||||
Total Common Stocks (Cost $1,993,981) |
2,157,922 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a) � 0.2% |
|||||||||||||||
$ |
4,395 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/2016, due 06/01/2016, total to be received $4,395 |
4,395 |
||||||||||||
Total Repurchase Agreements
(Cost $4,395) |
4,395 |
||||||||||||||
Total Investment Securities (Cost $1,998,376) � 99.7% |
2,162,317 |
||||||||||||||
Other assets less liabilities � 0.3% |
5,718 |
||||||||||||||
Net Assets � 100.0% |
$ |
2,168,035 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: S&P 500� EX-FINANCIALS ETF SPXN :: 25
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
230,356 |
|||||
Aggregate gross unrealized depreciation |
(67,067 |
) |
|||||
Net unrealized appreciation |
$ |
163,289 |
|||||
Federal income tax cost of investments |
$ |
1,999,028 |
S&P 500� Ex-Financials ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
14.9 |
% |
|||||
Consumer Staples |
12.0 |
% |
|||||
Energy |
8.5 |
% |
|||||
Health Care |
17.5 |
% |
|||||
Industrials |
11.9 |
% |
|||||
Information Technology |
24.2 |
% |
|||||
Materials |
3.4 |
% |
|||||
Telecommunication Services |
3.1 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Other1 |
0.5 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
26 :: SPXN S&P 500� EX-FINANCIALS ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 99.6% |
|||||||||||||||
84 |
3M Co. (Industrials) |
0.6 |
% |
$ |
14,139 |
||||||||||
87 |
Accenture PLC, Class A
(Information Technology) |
0.5 |
% |
10,350 |
|||||||||||
41 |
Alphabet, Inc., Class A* (Information Technology) |
1.4 |
% |
30,703 |
|||||||||||
41 |
Alphabet, Inc., Class C*
(Information Technology) |
1.4 |
% |
30,165 |
|||||||||||
272 |
Altria Group, Inc. (Consumer Staples) |
0.8 |
% |
17,310 |
|||||||||||
54 |
Amazon.com, Inc.*
(Consumer Discretionary) |
1.8 |
% |
39,031 |
|||||||||||
160 |
American International Group, Inc. (Financials) |
0.4 |
% |
9,261 |
|||||||||||
770 |
Apple, Inc. (Information
Technology) |
3.5 |
% |
76,892 |
|||||||||||
855 |
AT&T, Inc. (Telecommunication Services) |
1.5 |
% |
33,473 |
|||||||||||
1,435 |
Bank of America Corp.
(Financials) |
1.0 |
% |
21,224 |
|||||||||||
260 |
Berkshire Hathaway, Inc., Class B* (Financials) |
1.7 |
% |
36,540 |
|||||||||||
87 |
Boeing Co. (The) (Industrials) |
0.5 |
% |
10,975 |
|||||||||||
262 |
Chevron Corp. (Energy) |
1.2 |
% |
26,462 |
|||||||||||
699 |
Cisco Systems, Inc.
(Information Technology) |
0.9 |
% |
20,306 |
|||||||||||
410 |
Citigroup, Inc. (Financials) |
0.9 |
% |
19,094 |
|||||||||||
541 |
Coca-Cola Co. (The)
(Consumer Staples) |
1.1 |
% |
24,129 |
|||||||||||
338 |
Comcast Corp., Class A (Consumer Discretionary) |
1.0 |
% |
21,395 |
|||||||||||
153 |
CVS Health Corp.
(Consumer Staples) |
0.7 |
% |
14,757 |
|||||||||||
577 |
Exxon Mobil Corp. (Energy) |
2.4 |
% |
51,365 |
|||||||||||
319 |
Facebook, Inc., Class A*
(Information Technology) |
1.7 |
% |
37,900 |
|||||||||||
1,296 |
General Electric Co. (Industrials) |
1.8 |
% |
39,178 |
|||||||||||
176 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
1.1 |
% |
23,253 |
|||||||||||
107 |
Honeywell International, Inc. (Industrials) |
0.6 |
% |
12,180 |
|||||||||||
656 |
Intel Corp. (Information
Technology) |
0.9 |
% |
20,723 |
|||||||||||
123 |
International Business Machines Corp. (Information Technology) |
0.9 |
% |
18,910 |
|||||||||||
510 |
JPMorgan Chase & Co.
(Financials) |
1.5 |
% |
33,288 |
|||||||||||
127 |
Lowe's Cos., Inc. (Consumer Discretionary) |
0.5 |
% |
10,177 |
|||||||||||
136 |
MasterCard, Inc., Class A
(Information Technology) |
0.6 |
% |
13,042 |
|||||||||||
125 |
McDonald's Corp. (Consumer Discretionary) |
0.7 |
% |
15,257 |
|||||||||||
1,099 |
Microsoft Corp.
(Information Technology) |
2.7 |
% |
58,247 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
218 |
Mondelez International, Inc., Class A (Consumer Staples) |
0.4 |
% |
$ |
9,699 |
||||||||||
188 |
NIKE, Inc., Class B
(Consumer Discretionary) |
0.5 |
% |
10,381 |
|||||||||||
438 |
Oracle Corp. (Information Technology) |
0.8 |
% |
17,608 |
|||||||||||
201 |
PepsiCo, Inc.
(Consumer Staples) |
0.9 |
% |
20,335 |
|||||||||||
215 |
Philip Morris International, Inc. (Consumer Staples) |
1.0 |
% |
21,216 |
|||||||||||
369 |
Procter & Gamble Co.
(The) (Consumer Staples) |
1.4 |
% |
29,904 |
|||||||||||
208 |
QUALCOMM, Inc. (Information Technology) |
0.5 |
% |
11,423 |
|||||||||||
193 |
Schlumberger Ltd. (Energy) |
0.7 |
% |
14,726 |
|||||||||||
205 |
Starbucks Corp. (Consumer Discretionary) |
0.5 |
% |
11,252 |
|||||||||||
227 |
U.S. Bancorp (Financials) |
0.4 |
% |
9,720 |
|||||||||||
118 |
Union Pacific Corp. (Industrials) |
0.5 |
% |
9,934 |
|||||||||||
96 |
United Parcel Service,
Inc., Class B (Industrials) |
0.5 |
% |
9,897 |
|||||||||||
108 |
United Technologies Corp. (Industrials) |
0.5 |
% |
10,863 |
|||||||||||
566 |
Verizon Communications,
Inc. (Telecommunication Services) |
1.3 |
% |
28,809 |
|||||||||||
267 |
Visa, Inc., Class A (Information Technology) |
1.0 |
% |
21,077 |
|||||||||||
120 |
Walgreens Boots Alliance,
Inc. (Consumer Staples) |
0.4 |
% |
9,288 |
|||||||||||
218 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.7 |
% |
15,430 |
|||||||||||
209 |
Walt Disney Co. (The)
(Consumer Discretionary) |
1.0 |
% |
20,737 |
|||||||||||
642 |
Wells Fargo & Co. (Financials) |
1.5 |
% |
32,562 |
|||||||||||
20,318 |
Other Common Stocks |
48.8 |
% |
1,061,330 |
|||||||||||
Total Common Stocks (Cost $1,995,038) |
2,165,917 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a) � 0.2% |
|||||||||||||||
$ |
5,245 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 5/31/2016, due 6/1/2016, total to be received $5,245 |
5,245 |
||||||||||||
Total Repurchase Agreements
(Cost $5,245) |
5,245 |
||||||||||||||
Total Investment Securities (Cost $2,000,283) � 99.8% |
2,171,162 |
||||||||||||||
Other assets less liabilities � 0.2% |
4,228 |
||||||||||||||
Net Assets � 100.0% |
$ |
2,175,390 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: S&P 500� EX-HEALTH CARE ETF SPXV :: 27
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
222,650 |
|||||
Aggregate gross unrealized depreciation |
(52,510 |
) |
|||||
Net unrealized appreciation |
$ |
170,140 |
|||||
Federal income tax cost of investments |
$ |
2,001,022 |
S&P 500� Ex-Health Care ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
14.7 |
% |
|||||
Consumer Staples |
11.8 |
% |
|||||
Energy |
8.3 |
% |
|||||
Financials |
19.0 |
% |
|||||
Industrials |
11.7 |
% |
|||||
Information Technology |
23.8 |
% |
|||||
Materials |
3.3 |
% |
|||||
Telecommunication Services |
3.1 |
% |
|||||
Utilities |
3.9 |
% |
|||||
Other1 |
0.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
28 :: SPXV S&P 500� EX-HEALTH CARE ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 99.6% |
|||||||||||||||
137 |
3M Co. (Industrials) |
0.7 |
% |
$ |
23,060 |
||||||||||
366 |
AbbVie, Inc. (Health Care) |
0.7 |
% |
23,032 |
|||||||||||
90 |
Allergan PLC* (Health Care) |
0.7 |
% |
21,217 |
|||||||||||
445 |
Altria Group, Inc.
(Consumer Staples) |
0.9 |
% |
28,320 |
|||||||||||
88 |
Amazon.com, Inc.* (Consumer Discretionary) |
2.0 |
% |
63,606 |
|||||||||||
261 |
American International
Group, Inc. (Financials) |
0.5 |
% |
15,107 |
|||||||||||
171 |
Amgen, Inc. (Health Care) |
0.8 |
% |
27,009 |
|||||||||||
2,346 |
Bank of America Corp.
(Financials) |
1.1 |
% |
34,697 |
|||||||||||
426 |
Berkshire Hathaway, Inc., Class B* (Financials) |
1.9 |
% |
59,870 |
|||||||||||
50 |
Biogen, Inc.* (Health Care) |
0.4 |
% |
14,486 |
|||||||||||
142 |
Boeing Co. (The) (Industrials) |
0.6 |
% |
17,913 |
|||||||||||
379 |
Bristol-Myers Squibb Co.
(Health Care) |
0.8 |
% |
27,174 |
|||||||||||
178 |
Celgene Corp.* (Health Care) |
0.6 |
% |
18,783 |
|||||||||||
428 |
Chevron Corp. (Energy) |
1.3 |
% |
43,228 |
|||||||||||
670 |
Citigroup, Inc. (Financials) |
1.0 |
% |
31,202 |
|||||||||||
885 |
Coca-Cola Co. (The)
(Consumer Staples) |
1.2 |
% |
39,471 |
|||||||||||
203 |
Colgate-Palmolive Co. (Consumer Staples) |
0.4 |
% |
14,293 |
|||||||||||
553 |
Comcast Corp., Class A
(Consumer Discretionary) |
1.1 |
% |
35,005 |
|||||||||||
100 |
Costco Wholesale Corp. (Consumer Staples) |
0.5 |
% |
14,877 |
|||||||||||
250 |
CVS Health Corp.
(Consumer Staples) |
0.8 |
% |
24,113 |
|||||||||||
221 |
Eli Lilly & Co. (Health Care) |
0.5 |
% |
16,582 |
|||||||||||
944 |
Exxon Mobil Corp. (Energy) |
2.6 |
% |
84,034 |
|||||||||||
2,120 |
General Electric Co. (Industrials) |
2.0 |
% |
64,088 |
|||||||||||
311 |
Gilead Sciences, Inc.
(Health Care) |
0.8 |
% |
27,076 |
|||||||||||
288 |
Home Depot, Inc. (The) (Consumer Discretionary) |
1.2 |
% |
38,051 |
|||||||||||
175 |
Honeywell International,
Inc. (Industrials) |
0.6 |
% |
19,920 |
|||||||||||
627 |
Johnson & Johnson (Health Care) |
2.2 |
% |
70,657 |
|||||||||||
834 |
JPMorgan Chase & Co.
(Financials) |
1.7 |
% |
54,435 |
|||||||||||
208 |
Lowe's Cos., Inc. (Consumer Discretionary) |
0.5 |
% |
16,667 |
|||||||||||
205 |
McDonald's Corp.
(Consumer Discretionary) |
0.8 |
% |
25,022 |
|||||||||||
320 |
Medtronic PLC (Health Care) |
0.8 |
% |
25,754 |
|||||||||||
631 |
Merck & Co., Inc.
(Health Care) |
1.1 |
% |
35,500 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
357 |
Mondelez International, Inc., Class A (Consumer Staples) |
0.5 |
% |
$ |
15,883 |
||||||||||
307 |
NIKE, Inc., Class B
(Consumer Discretionary) |
0.5 |
% |
16,953 |
|||||||||||
328 |
PepsiCo, Inc. (Consumer Staples) |
1.0 |
% |
33,184 |
|||||||||||
1,374 |
Pfizer, Inc. (Health Care) |
1.5 |
% |
47,678 |
|||||||||||
352 |
Philip Morris International, Inc. (Consumer Staples) |
1.1 |
% |
34,735 |
|||||||||||
603 |
Procter & Gamble Co.
(The) (Consumer Staples) |
1.5 |
% |
48,867 |
|||||||||||
316 |
Schlumberger Ltd. (Energy) |
0.7 |
% |
24,111 |
|||||||||||
336 |
Starbucks Corp. (Consumer
Discretionary) |
0.6 |
% |
18,443 |
|||||||||||
371 |
U.S. Bancorp (Financials) |
0.5 |
% |
15,886 |
|||||||||||
192 |
Union Pacific Corp.
(Industrials) |
0.5 |
% |
16,164 |
|||||||||||
157 |
United Parcel Service, Inc., Class B (Industrials) |
0.5 |
% |
16,185 |
|||||||||||
177 |
United Technologies Corp.
(Industrials) |
0.6 |
% |
17,803 |
|||||||||||
216 |
UnitedHealth Group, Inc. (Health Care) |
0.9 |
% |
28,873 |
|||||||||||
196 |
Walgreens Boots Alliance,
Inc. (Consumer Staples) |
0.5 |
% |
15,170 |
|||||||||||
357 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.8 |
% |
25,268 |
|||||||||||
341 |
Walt Disney Co. (The)
(Consumer Discretionary) |
1.1 |
% |
33,834 |
|||||||||||
1,050 |
Wells Fargo & Co. (Financials) |
1.7 |
% |
53,256 |
|||||||||||
29,512 |
Other Common Stocks |
52.3 |
% |
1,677,708 |
|||||||||||
Total Common Stocks (Cost $3,059,492) |
3,194,250 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a) � 0.2% |
|||||||||||||||
$ |
7,485 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/2016, due 06/01/2016, total to be received $7,485 |
7,485 |
||||||||||||
Total Repurchase Agreements
(Cost $7,485) |
7,485 |
||||||||||||||
Total Investment Securities (Cost $3,066,977) � 99.8% |
3,201,735 |
||||||||||||||
Other assets less liabilities � 0.2% |
6,520 |
||||||||||||||
Net Assets � 100.0% |
$ |
3,208,255 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: S&P 500� EX-TECHNOLOGY ETF SPXT :: 29
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
211,362 |
|||||
Aggregate gross unrealized depreciation |
(77,558 |
) |
|||||
Net unrealized appreciation |
$ |
133,804 |
|||||
Federal income tax cost of investments |
$ |
3,067,931 |
S&P 500� Ex-Technology ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
16.2 |
% |
|||||
Consumer Staples |
13.1 |
% |
|||||
Energy |
9.2 |
% |
|||||
Financials |
21.1 |
% |
|||||
Health Care |
19.0 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Materials |
3.7 |
% |
|||||
Utilities |
4.3 |
% |
|||||
Other1 |
0.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
30 :: SPXT S&P 500� EX-TECHNOLOGY ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 96.4% |
|||||||||||||||
1,329 |
ABB Ltd.* (Industrials) |
0.5 |
% |
$ |
27,644 |
||||||||||
231 |
Air Liquide S.A. (Materials) |
0.5 |
% |
24,824 |
|||||||||||
307 |
Allianz SE (Financials) |
0.9 |
% |
50,137 |
|||||||||||
535 |
Anheuser-Busch
InBev S.A./N.V. (Consumer Staples) |
1.2 |
% |
67,808 |
|||||||||||
851 |
AstraZeneca PLC (Health Care) |
0.9 |
% |
49,892 |
|||||||||||
1,295 |
AXA S.A. (Financials) |
0.6 |
% |
32,553 |
|||||||||||
4,285 |
Banco Bilbao Vizcaya Argentaria S.A. (Financials) |
0.5 |
% |
28,436 |
|||||||||||
9,708 |
Banco Santander S.A.
(Financials) |
0.8 |
% |
46,375 |
|||||||||||
11,287 |
Barclays PLC (Financials) |
0.5 |
% |
29,965 |
|||||||||||
622 |
BASF SE (Materials) |
0.9 |
% |
48,076 |
|||||||||||
561 |
Bayer AG (Health Care) |
1.0 |
% |
53,479 |
|||||||||||
658 |
BNP Paribas S.A.*
(Financials) |
0.7 |
% |
36,454 |
|||||||||||
12,533 |
BP PLC (Energy) |
1.2 |
% |
65,169 |
|||||||||||
1,264 |
British American
Tobacco PLC (Consumer Staples) |
1.4 |
% |
77,233 |
|||||||||||
5,640 |
BT Group PLC (Telecommunication Services) |
0.7 |
% |
36,350 |
|||||||||||
644 |
Daimler AG (Consumer
Discretionary) |
0.8 |
% |
44,013 |
|||||||||||
381 |
Danone S.A. (Consumer Staples) |
0.5 |
% |
26,755 |
|||||||||||
2,134 |
Deutsche Telekom AG
(Telecommunication Services) |
0.7 |
% |
37,702 |
|||||||||||
1,698 |
Diageo PLC (Consumer Staples) |
0.8 |
% |
46,228 |
|||||||||||
1,660 |
Eni SpA (Energy) |
0.5 |
% |
25,373 |
|||||||||||
3,296 |
GlaxoSmithKline PLC (Health Care) |
1.3 |
% |
69,321 |
|||||||||||
13,232 |
HSBC Holdings PLC
(Financials) |
1.6 |
% |
85,713 |
|||||||||||
3,801 |
Iberdrola S.A. (Utilities) |
0.5 |
% |
25,795 |
|||||||||||
649 |
Imperial Brands PLC
(Consumer Staples) |
0.7 |
% |
35,527 |
|||||||||||
2,603 |
ING Groep N.V. (CVA) (Financials) |
0.6 |
% |
32,441 |
|||||||||||
43,138 |
Lloyds Banking Group
PLC (Financials) |
0.8 |
% |
45,219 |
|||||||||||
157 |
L'Oreal S.A. (Consumer Staples) |
0.5 |
% |
29,520 |
|||||||||||
166 |
LVMH Moet Hennessy
Louis Vuitton SE (Consumer Discretionary) |
0.5 |
% |
26,620 |
|||||||||||
2,542 |
National Grid PLC (Utilities) |
0.7 |
% |
37,258 |
|||||||||||
2,091 |
Nestle S.A.
(Consumer Staples) |
2.8 |
% |
154,375 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
1,446 |
Novartis AG (Health Care) |
2.1 |
% |
$ |
114,755 |
||||||||||
1,236 |
Novo Nordisk A/S,
Class B (Health Care) |
1.3 |
% |
68,776 |
|||||||||||
1,720 |
Prudential PLC (Financials) |
0.6 |
% |
34,548 |
|||||||||||
424 |
Reckitt Benckiser
Group PLC (Consumer Staples) |
0.8 |
% |
42,428 |
|||||||||||
476 |
Roche Holding AG (Health Care) |
2.3 |
% |
124,913 |
|||||||||||
2,854 |
Royal Dutch Shell PLC,
Class A (Energy) |
1.3 |
% |
68,852 |
|||||||||||
2,540 |
Royal Dutch Shell PLC, Class B (Energy) |
1.1 |
% |
61,388 |
|||||||||||
644 |
SABMiller PLC
(Consumer Staples) |
0.7 |
% |
40,254 |
|||||||||||
759 |
Sanofi (Health Care) |
1.1 |
% |
62,265 |
|||||||||||
602 |
SAP SE (Information
Technology) |
0.9 |
% |
48,896 |
|||||||||||
396 |
Shire PLC (Health Care) |
0.4 |
% |
24,554 |
|||||||||||
515 |
Siemens AG (Industrials) |
1.0 |
% |
55,492 |
|||||||||||
62 |
Syngenta AG (Materials) |
0.4 |
% |
24,352 |
|||||||||||
2,886 |
Telefonica S.A.
(Telecommunication Services) |
0.6 |
% |
30,172 |
|||||||||||
1,419 |
TOTAL S.A. (Energy) |
1.3 |
% |
68,993 |
|||||||||||
2,367 |
UBS Group AG (Financials) |
0.7 |
% |
36,569 |
|||||||||||
1,049 |
Unilever N.V. (CVA) (Consumer Staples) |
0.9 |
% |
47,138 |
|||||||||||
813 |
Unilever PLC
(Consumer Staples) |
0.7 |
% |
37,227 |
|||||||||||
18,013 |
Vodafone Group PLC (Telecommunication Services) |
1.1 |
% |
60,524 |
|||||||||||
360,760 |
Other Common Stocks |
51.5 |
% |
2,809,687 |
|||||||||||
Total Common Stocks (Cost $5,685,616) |
5,258,038 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a) � 0.1% |
|||||||||||||||
$ |
6,849 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $6,849 |
6,849 |
||||||||||||
Total Repurchase Agreements
(Cost $6,849) |
6,849 |
||||||||||||||
Total Investment Securities (Cost $5,692,465) � 96.5% |
5,264,887 |
||||||||||||||
Other assets less liabilities � 3.5% |
191,761 |
||||||||||||||
Net Assets � 100.0% |
$ |
5,456,648 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HEDGED FTSE EUROPE ETF HGEU :: 31
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
CVA Dutch Certificate
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
166,982 |
|||||
Aggregate gross unrealized depreciation |
(627,440 |
) |
|||||
Net unrealized depreciation |
$ |
(460,458 |
) |
||||
Federal income tax cost of investments |
$ |
5,725,345 |
Forward Currency Contracts
Hedged FTSE Europe ETF had the following open forward currency contracts as of May 31, 2016:
Currency |
Counterparty |
Delivery Date |
Foreign Currency to Receive (Pay) |
U.S. Dollars
to Receive (Pay) |
Market Value |
Net Unrealized Appreciation/ (Depreciation)1 |
|||||||||||||||||||||
U.S. Dollar vs. Swiss Franc |
Goldman Sachs International |
06/02/16 |
707,000 |
$ |
(711,196 |
) |
$ |
711,125 |
$ |
(71 |
) |
||||||||||||||||
U.S. Dollar vs. Danish Krone |
Goldman Sachs International |
06/02/16 |
1,042,000 |
(155,927 |
) |
155,947 |
20 |
||||||||||||||||||||
U.S. Dollar vs. Danish Krone |
Goldman Sachs International |
06/02/16 |
4,000 |
(610 |
) |
599 |
(11 |
) |
|||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs International |
06/02/16 |
2,185,000 |
(2,433,270 |
) |
2,432,451 |
(819 |
) |
|||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs International |
06/02/16 |
1,141,000 |
(1,661,037 |
) |
1,660,725 |
(312 |
) |
|||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs International |
06/02/16 |
5,000 |
(7,201 |
) |
7,278 |
77 |
||||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs International |
06/02/16 |
407,000 |
(48,656 |
) |
48,666 |
10 |
||||||||||||||||||||
U.S. Dollar vs. Swedish Krona |
Goldman Sachs International |
06/02/16 |
1,910,000 |
(228,632 |
) |
228,653 |
21 |
||||||||||||||||||||
U.S. Dollar vs. Swedish Krona |
Goldman Sachs International |
06/02/16 |
12,000 |
(1,482 |
) |
1,437 |
(45 |
) |
|||||||||||||||||||
U.S. Dollar vs. Swiss Franc |
Goldman Sachs International |
06/02/16 |
(707,000 |
) |
738,268 |
711,125 |
27,143 |
||||||||||||||||||||
U.S. Dollar vs. Swiss Franc |
Goldman Sachs International |
07/05/16 |
(730,000 |
) |
735,464 |
735,500 |
(36 |
) |
|||||||||||||||||||
U.S. Dollar vs. Danish Krone |
Goldman Sachs International |
06/02/16 |
(1,046,000 |
) |
160,932 |
156,546 |
4,386 |
||||||||||||||||||||
U.S. Dollar vs. Danish Krone |
Goldman Sachs International |
07/05/16 |
(1,090,000 |
) |
163,285 |
163,341 |
(56 |
) |
|||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs International |
06/02/16 |
(2,185,000 |
) |
2,502,652 |
2,432,451 |
70,201 |
||||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs International |
07/05/16 |
(2,194,000 |
) |
2,445,377 |
2,445,508 |
(131 |
) |
|||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs International |
06/02/16 |
(1,135,000 |
) |
1,660,133 |
1,651,992 |
8,141 |
||||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs International |
07/05/16 |
(1,139,000 |
) |
1,658,420 |
1,658,224 |
196 |
||||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs International |
06/02/16 |
(11,000 |
) |
15,916 |
16,011 |
(95 |
) |
|||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs International |
07/05/16 |
(411,000 |
) |
49,129 |
49,140 |
(11 |
) |
|||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs International |
06/02/16 |
(407,000 |
) |
50,455 |
48,666 |
1,789 |
||||||||||||||||||||
U.S. Dollar vs. Swedish Krona |
Goldman Sachs International |
07/05/16 |
(1,936,000 |
) |
232,054 |
232,106 |
(52 |
) |
|||||||||||||||||||
U.S. Dollar vs. Swedish Krona |
Goldman Sachs International |
06/02/16 |
(1,922,000 |
) |
239,746 |
230,090 |
9,656 |
||||||||||||||||||||
$ |
120,0012 |
1 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on forward currency contracts) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on forward currency contracts) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
2 The Net Amount of the Fund's uncollateralized exposure to the counterparty under these contracts is equal to the net unrealized appreciation of $120,001. Neither the Fund nor the counterparty has posted Financial Instruments or cash as collateral pursuant to these contracts.
See accompanying notes to the financial statements.
32 :: HGEU HEDGED FTSE EUROPE ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Hedged FTSE Europe ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
10.8 |
% |
|||||
Consumer Staples |
14.8 |
% |
|||||
Energy |
6.2 |
% |
|||||
Financials |
20.4 |
% |
|||||
Health Care |
13.3 |
% |
|||||
Industrials |
11.5 |
% |
|||||
Information Technology |
3.9 |
% |
|||||
Materials |
6.8 |
% |
|||||
Telecommunication Services |
4.9 |
% |
|||||
Utilities |
3.9 |
% |
|||||
Other1 |
3.5 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
Hedged FTSE Europe ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
United Kingdom |
30.3 |
% |
|||||
France |
14.0 |
% |
|||||
Switzerland |
13.4 |
% |
|||||
Germany |
13.3 |
% |
|||||
Spain |
4.7 |
% |
|||||
Netherlands |
4.6 |
% |
|||||
Sweden |
4.2 |
% |
|||||
Italy |
3.3 |
% |
|||||
Denmark |
3.0 |
% |
|||||
Belgium |
2.2 |
% |
|||||
Finland |
1.5 |
% |
|||||
Norway |
0.9 |
% |
|||||
Ireland |
0.4 |
% |
|||||
Austria |
0.3 |
% |
|||||
Portugal |
0.3 |
% |
|||||
Other1 |
3.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HEDGED FTSE EUROPE ETF HGEU :: 33
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 96.3% |
|||||||||||||||
3,198 |
Astellas Pharma, Inc. (Health Care) |
0.9 |
% |
$ |
43,743 |
||||||||||
965 |
Bridgestone Corp.
(Consumer Discretionary) |
0.7 |
% |
33,291 |
|||||||||||
1,576 |
Canon, Inc. (Information Technology) |
1.0 |
% |
45,644 |
|||||||||||
272 |
Central Japan Railway Co.
(Industrials) |
1.0 |
% |
48,143 |
|||||||||||
1,016 |
Daiichi Sankyo Co. Ltd. (Health Care) |
0.5 |
% |
23,603 |
|||||||||||
401 |
Daikin Industries Ltd.
(Industrials) |
0.7 |
% |
34,335 |
|||||||||||
971 |
Daiwa House Industry Co. Ltd. (Financials) |
0.6 |
% |
28,166 |
|||||||||||
756 |
Denso Corp. (Consumer
Discretionary) |
0.6 |
% |
29,782 |
|||||||||||
571 |
East Japan Railway Co. (Industrials) |
1.1 |
% |
52,181 |
|||||||||||
400 |
Eisai Co. Ltd. (Health Care) |
0.5 |
% |
24,807 |
|||||||||||
294 |
FANUC Corp. (Industrials) |
0.9 |
% |
45,013 |
|||||||||||
941 |
Fuji Heavy Industries Ltd.
(Consumer Discretionary) |
0.7 |
% |
35,212 |
|||||||||||
605 |
FUJIFILM Holdings Corp. (Information Technology) |
0.5 |
% |
24,559 |
|||||||||||
6,971 |
Hitachi Ltd. (Information
Technology) |
0.7 |
% |
32,182 |
|||||||||||
2,696 |
Honda Motor Co. Ltd. (Consumer Discretionary) |
1.6 |
% |
76,598 |
|||||||||||
2,162 |
ITOCHU Corp. (Industrials) |
0.6 |
% |
27,126 |
|||||||||||
1,561 |
Japan Tobacco, Inc. (Consumer Staples) |
1.3 |
% |
61,959 |
|||||||||||
754 |
Kao Corp. (Consumer
Staples) |
0.9 |
% |
41,478 |
|||||||||||
2,824 |
KDDI Corp. (Telecommunication Services) |
1.7 |
% |
82,424 |
|||||||||||
69 |
Keyence Corp. (Information
Technology) |
0.9 |
% |
43,800 |
|||||||||||
1,417 |
Komatsu Ltd. (Industrials) |
0.5 |
% |
24,435 |
|||||||||||
1,691 |
Kubota Corp. (Industrials) |
0.5 |
% |
24,861 |
|||||||||||
469 |
Kyocera Corp. (Information Technology) |
0.5 |
% |
23,428 |
|||||||||||
2,071 |
Mitsubishi Corp. (Industrials) |
0.8 |
% |
36,731 |
|||||||||||
2,970 |
Mitsubishi Electric Corp. (Industrials) |
0.8 |
% |
35,871 |
|||||||||||
1,902 |
Mitsubishi Estate Co. Ltd.
(Financials) |
0.8 |
% |
36,692 |
|||||||||||
20,907 |
Mitsubishi UFJ Financial Group, Inc. (Financials) |
2.2 |
% |
104,398 |
|||||||||||
2,560 |
Mitsui & Co. Ltd.
(Industrials) |
0.6 |
% |
30,816 |
|||||||||||
1,426 |
Mitsui Fudosan Co. Ltd. (Financials) |
0.7 |
% |
34,993 |
|||||||||||
37,218 |
Mizuho Financial Group,
Inc. (Financials) |
1.2 |
% |
58,526 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
285 |
Murata Manufacturing Co. Ltd. (Information Technology) |
0.7 |
% |
$ |
33,278 |
||||||||||
364 |
Nidec Corp. (Industrials) |
0.6 |
% |
28,085 |
|||||||||||
163 |
Nintendo Co. Ltd. (Information Technology) |
0.5 |
% |
24,177 |
|||||||||||
1,234 |
Nippon Steel & Sumitomo
Metal Corp. (Materials) |
0.5 |
% |
25,480 |
|||||||||||
696 |
Nippon Telegraph & Telephone Corp. (Telecommunication Services) |
0.6 |
% |
30,468 |
|||||||||||
3,780 |
Nissan Motor Co. Ltd.
(Consumer Discretionary) |
0.8 |
% |
38,344 |
|||||||||||
2,042 |
NTT DOCOMO, Inc. (Telecommunication Services) |
1.1 |
% |
51,167 |
|||||||||||
685 |
Ono Pharmaceutical
Co. Ltd. (Health Care) |
0.6 |
% |
30,413 |
|||||||||||
1,971 |
ORIX Corp. (Financials) |
0.6 |
% |
27,369 |
|||||||||||
3,198 |
Panasonic Corp.
(Consumer Discretionary) |
0.6 |
% |
29,744 |
|||||||||||
1,173 |
Seven & i Holdings Co. Ltd. (Consumer Staples) |
1.1 |
% |
50,175 |
|||||||||||
619 |
Shin-Etsu Chemical
Co. Ltd. (Materials) |
0.8 |
% |
36,100 |
|||||||||||
445 |
Shionogi & Co. Ltd. (Health Care) |
0.5 |
% |
25,026 |
|||||||||||
1,394 |
SoftBank Group Corp.
(Telecommunication Services) |
1.6 |
% |
78,281 |
|||||||||||
1,888 |
Sony Corp. (Consumer Discretionary) |
1.1 |
% |
52,773 |
|||||||||||
1,953 |
Sumitomo Mitsui Financial
Group, Inc. (Financials) |
1.3 |
% |
63,694 |
|||||||||||
1,163 |
Takeda Pharmaceutical Co. Ltd. (Health Care) |
1.1 |
% |
50,303 |
|||||||||||
1,055 |
Tokio Marine Holdings,
Inc. (Financials) |
0.8 |
% |
36,519 |
|||||||||||
4,141 |
Toyota Motor Corp. (Consumer Discretionary) |
4.5 |
% |
215,927 |
|||||||||||
245,343 |
Other Common Stocks |
50.9 |
% |
2,438,780 |
|||||||||||
Total Common Stocks (Cost $4,899,400) |
4,610,900 |
||||||||||||||
Total Investment Securities
(Cost $4,899,400) � 96.3% |
4,610,900 |
||||||||||||||
Other assets less liabilities � 3.7% |
176,871 |
||||||||||||||
Net Assets � 100.0% |
$ |
4,787,771 |
See accompanying notes to the financial statements.
34 :: HGJP HEDGED FTSE JAPAN ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
262,548 |
|||||
Aggregate gross unrealized depreciation |
(580,927 |
) |
|||||
Net unrealized depreciation |
$ |
(318,379 |
) |
||||
Federal income tax cost of investments |
$ |
4,929,279 |
Forward Currency Contracts
Hedged FTSE Japan ETF had the following open forward currency contracts as of May 31, 2016:
Currency |
Counterparty |
Delivery Date |
Foreign Currency to Receive (Pay) |
U.S. Dollars
to Receive (Pay) |
Market Value |
Net Unrealized Appreciation/ (Depreciation)1 |
|||||||||||||||||||||
U.S. Dollar vs. Japanese Yen |
Goldman Sachs International |
06/03/16 |
2,300,000 |
$ |
(21,606 |
) |
$ |
20,739 |
$ |
(867 |
) |
||||||||||||||||
U.S. Dollar vs. Japanese Yen |
Goldman Sachs International |
06/03/16 |
515,700,000 |
(4,648,983 |
) |
4,650,018 |
1,035 |
||||||||||||||||||||
U.S. Dollar vs. Japanese Yen |
Goldman Sachs International |
06/03/16 |
(518,000,000 |
) |
4,844,037 |
4,670,757 |
173,280 |
||||||||||||||||||||
U.S. Dollar vs. Japanese Yen |
Goldman Sachs International |
07/05/16 |
(529,460,000 |
) |
4,778,468 |
4,780,030 |
(1,562 |
) |
|||||||||||||||||||
$ |
171,8862 |
1 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on forward currency contracts) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on forward currency contracts) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
2 The Net Amount of the Fund's uncollateralized exposure to the counterparty under these contracts is equal to the net unrealized appreciation of $171,886. Neither the Fund nor the counterparty has posted Financial Instruments or cash as collateral pursuant to these contracts.
Hedged FTSE Japan ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
19.8 |
% |
|||||
Consumer Staples |
8.9 |
% |
|||||
Energy |
0.8 |
% |
|||||
Financials |
15.8 |
% |
|||||
Health Care |
8.4 |
% |
|||||
Industrials |
19.8 |
% |
|||||
Information Technology |
9.4 |
% |
|||||
Materials |
6.1 |
% |
|||||
Telecommunication Services |
5.1 |
% |
|||||
Utilities |
2.2 |
% |
|||||
Other1 |
3.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HEDGED FTSE JAPAN ETF HGJP :: 35
Principal Amount |
Value |
||||||||||
Corporate Bonds � 96.0% |
|||||||||||
Aerospace & Defense � 3.5% |
|||||||||||
Bombardier, Inc. |
|||||||||||
$ |
527,000 |
6.13%, due 01/15/23 (b) |
$ |
451,576 |
|||||||
688,000 |
7.50%, due 03/15/25 (b) |
605,440 |
|||||||||
KLX, Inc. |
|||||||||||
840,000 |
5.88%, due 12/01/22 (b) |
827,400 |
|||||||||
TransDigm, Inc. |
|||||||||||
363,000 |
6.00%, due 07/15/22 |
369,352 |
|||||||||
798,000 |
6.50%, due 07/15/24 |
813,960 |
|||||||||
3,067,728 |
|||||||||||
Air Freight & Logistics � 0.3% |
|||||||||||
XPO Logistics, Inc. |
|||||||||||
300,000 |
6.50%, due 06/15/22 (b) |
288,000 |
|||||||||
Auto Components � 0.8% |
|||||||||||
Goodyear Tire & Rubber Co. (The) |
|||||||||||
650,000 |
5.13%, due 11/15/23 |
664,625 |
|||||||||
Banks � 1.4% |
|||||||||||
CIT Group, Inc. |
|||||||||||
1,063,000 |
4.25%, due 08/15/17 |
1,075,543 |
|||||||||
187,000 |
5.50%, due 02/15/19 (b) |
195,415 |
|||||||||
1,270,958 |
|||||||||||
Beverages � 0.6% |
|||||||||||
Constellation Brands, Inc. |
|||||||||||
551,000 |
4.25%, due 05/01/23 |
567,530 |
|||||||||
Chemicals � 3.4% |
|||||||||||
Ashland, Inc. |
|||||||||||
409,000 |
4.75%, due 08/15/22 |
413,744 |
|||||||||
Chemours Co. (The) |
|||||||||||
500,000 |
6.63%, due 05/15/23 |
448,750 |
|||||||||
Gates Global LLC/Gates Global Co. |
|||||||||||
416,000 |
6.00%, due 07/15/22 (b) |
364,936 |
|||||||||
Hexion, Inc. |
|||||||||||
1,186,000 |
6.63%, due 04/15/20 |
1,008,100 |
|||||||||
Momentive Performance Materials, Inc. |
|||||||||||
509,000 |
3.88%, due 10/24/21 |
407,200 |
|||||||||
Platform Specialty Products Corp. |
|||||||||||
453,000 |
6.50%, due 02/01/22 (b) |
402,321 |
|||||||||
3,045,051 |
|||||||||||
Commercial Services & Supplies � 2.5% |
|||||||||||
ADT Corp. (The) |
|||||||||||
136,000 |
3.50%, due 07/15/22 |
124,780 |
|||||||||
Aramark Services, Inc. |
|||||||||||
739,000 |
5.75%, due 03/15/20 |
762,556 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Jaguar Holding Co. II/Pharmaceutical
Product Development LLC |
|||||||||||
$ |
400,000 |
6.38%, due 08/01/23 (b) |
$ |
408,400 |
|||||||
Laureate Education, Inc. |
|||||||||||
485,000 |
9.25%, due 09/01/19 (b) |
446,200 |
|||||||||
West Corp. |
|||||||||||
541,000 |
5.38%, due 07/15/22 (b) |
489,605 |
|||||||||
2,231,541 |
|||||||||||
Communications Equipment � 0.9% |
|||||||||||
Avaya, Inc. |
|||||||||||
1,963,000 |
10.50%, due 03/01/21 (b) |
554,548 |
|||||||||
CommScope Technologies Finance LLC |
|||||||||||
203,000 |
6.00%, due 06/15/25 (b) |
206,553 |
|||||||||
761,101 |
|||||||||||
Consumer Finance � 2.8% |
|||||||||||
Ally Financial, Inc. |
|||||||||||
462,000 |
3.60%, due 05/21/18 |
465,234 |
|||||||||
928,000 |
5.75%, due 11/20/25 |
939,600 |
|||||||||
Navient Corp. |
|||||||||||
1,102,000 |
5.50%, due 01/15/19 |
1,102,000 |
|||||||||
2,506,834 |
|||||||||||
Containers & Packaging � 3.4% |
|||||||||||
Ball Corp. |
|||||||||||
791,000 |
5.25%, due 07/01/25 |
823,629 |
|||||||||
Crown Americas LLC/Crown
Americas Capital Corp. IV |
|||||||||||
396,000 |
4.50%, due 01/15/23 |
400,455 |
|||||||||
Reynolds Group Issuer,
Inc./ Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu |
|||||||||||
373,000 |
9.88%, due 08/15/19 |
387,454 |
|||||||||
1,341,000 |
5.75%, due 10/15/20 |
1,382,906 |
|||||||||
2,994,444 |
|||||||||||
Diversified Financial Services � 1.0% |
|||||||||||
Argos Merger Sub, Inc. |
|||||||||||
878,000 |
7.13%, due 03/15/23 (b) |
888,975 |
|||||||||
Diversified Telecommunication
Services � 6.7% |
|||||||||||
CCO Holdings LLC/CCO
Holdings Capital Corp. |
|||||||||||
1,810,000 |
5.75%, due 02/15/26 (b) |
1,855,250 |
|||||||||
CenturyLink, Inc. |
|||||||||||
717,000 |
6.45%, due 06/15/21 |
727,755 |
|||||||||
300,000 |
5.80%, due 03/15/22 |
289,500 |
|||||||||
Frontier Communications Corp. |
|||||||||||
569,000 |
10.50%, due 09/15/22 (b) |
592,471 |
|||||||||
1,262,000 |
11.00%, due 09/15/25 (b) |
1,284,085 |
See accompanying notes to the financial statements.
36 :: HYHG HIGH YIELD�INTEREST RATE HEDGED :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Virgin Media Secured Finance PLC |
|||||||||||
$ |
360,000 |
5.38%, due 04/15/21 (b) |
$ |
374,400 |
|||||||
Zayo Group LLC/Zayo Capital, Inc. |
|||||||||||
800,000 |
6.00%, due 04/01/23 |
822,000 |
|||||||||
5,945,461 |
|||||||||||
Electronic Equipment,
Instruments & Components � 0.5% |
|||||||||||
Zebra Technologies Corp. |
|||||||||||
394,000 |
7.25%, due 10/15/22 |
420,103 |
|||||||||
Energy Equipment & Services � 0.2% |
|||||||||||
Transocean, Inc. |
|||||||||||
291,000 |
7.12%, due 12/15/21 |
214,613 |
|||||||||
Food & Staples Retailing � 1.2% |
|||||||||||
Rite Aid Corp. |
|||||||||||
761,000 |
6.13%, due 04/01/23 (b) |
804,757 |
|||||||||
US Foods, Inc. |
|||||||||||
271,000 |
8.50%, due 06/30/19 |
277,775 |
|||||||||
1,082,532 |
|||||||||||
Food Products � 0.2% |
|||||||||||
Post Holdings, Inc. |
|||||||||||
204,000 |
7.38%, due 02/15/22 |
215,475 |
|||||||||
Gas Utilities � 2.2% |
|||||||||||
Sabine Pass Liquefaction LLC |
|||||||||||
1,486,000 |
5.75%, due 05/15/24 |
1,493,430 |
|||||||||
418,000 |
5.63%, due 03/01/25 |
418,000 |
|||||||||
1,911,430 |
|||||||||||
Health Care Equipment & Supplies � 0.5% |
|||||||||||
DJO Finco, Inc./DJO Finance LLC/ DJO Finance Corp. |
|||||||||||
317,000 |
8.13%, due 06/15/21 (b) |
284,507 |
|||||||||
Hologic, Inc. |
|||||||||||
182,000 |
5.25%, due 07/15/22 (b) |
190,417 |
|||||||||
474,924 |
|||||||||||
Health Care Providers & Services � 12.7% |
|||||||||||
Amsurg Corp. |
|||||||||||
880,000 |
5.63%, due 07/15/22 |
893,200 |
|||||||||
Centene Corp. |
|||||||||||
219,000 |
5.63%, due 02/15/21 (b) |
227,760 |
|||||||||
700,000 |
6.13%, due 02/15/24 (b) |
737,191 |
|||||||||
CHS/Community Health
Systems, Inc. |
|||||||||||
1,364,000 |
8.00%, due 11/15/19 |
1,346,950 |
|||||||||
333,000 |
6.88%, due 02/01/22 |
286,177 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Crimson Merger Sub, Inc. |
|||||||||||
$ |
588,000 |
6.63%, due 05/15/22 (b) |
$ |
479,955 |
|||||||
DaVita HealthCare Partners, Inc. |
|||||||||||
1,408,000 |
5.13%, due 07/15/24 |
1,427,008 |
|||||||||
200,000 |
5.00%, due 05/01/25 |
198,250 |
|||||||||
HCA, Inc. |
|||||||||||
519,000 |
7.50%, due 02/15/22 |
588,416 |
|||||||||
972,000 |
5.38%, due 02/01/25 |
986,580 |
|||||||||
Kinetic Concepts, Inc./KCI USA, Inc. |
|||||||||||
649,000 |
10.50%, due 11/01/18 |
647,377 |
|||||||||
LifePoint Health, Inc. |
|||||||||||
992,000 |
5.50%, due 12/01/21 |
1,031,680 |
|||||||||
MPH Acquisition Holdings LLC |
|||||||||||
603,000 |
6.63%, due 04/01/22 (b) |
657,270 |
|||||||||
Tenet Healthcare Corp. |
|||||||||||
1,406,000 |
8.13%, due 04/01/22 |
1,414,788 |
|||||||||
359,000 |
6.75%, due 06/15/23 |
337,460 |
|||||||||
11,260,062 |
|||||||||||
Hotels, Restaurants & Leisure � 4.7% |
|||||||||||
1011778 BC ULC/New Red
Finance, Inc. |
|||||||||||
70,000 |
4.63%, due 01/15/22 (b) |
71,488 |
|||||||||
1,345,000 |
6.00%, due 04/01/22 (b) |
1,393,756 |
|||||||||
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope |
|||||||||||
249,000 |
11.00%, due 10/01/21 |
238,417 |
|||||||||
ESH Hospitality, Inc. |
|||||||||||
408,000 |
5.25%, due 05/01/25 (b) |
395,760 |
|||||||||
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp. |
|||||||||||
69,000 |
5.63%, due 10/15/21 |
71,457 |
|||||||||
MGM Resorts International |
|||||||||||
850,000 |
6.00%, due 03/15/23 |
888,250 |
|||||||||
Scientific Games International, Inc. |
|||||||||||
844,000 |
10.00%, due 12/01/22 |
683,640 |
|||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
|||||||||||
457,000 |
5.50%, due 03/01/25 (b) |
441,005 |
|||||||||
4,183,773 |
|||||||||||
Independent Power and
Renewable Electricity Producers � 4.0% |
|||||||||||
Calpine Corp. |
|||||||||||
391,000 |
5.38%, due 01/15/23 |
382,081 |
|||||||||
789,000 |
5.75%, due 01/15/25 |
763,357 |
|||||||||
Dynegy, Inc. |
|||||||||||
270,000 |
6.75%, due 11/01/19 |
270,675 |
|||||||||
1,350,000 |
7.38%, due 11/01/22 |
1,302,750 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HIGH YIELD�INTEREST RATE HEDGED HYHG :: 37
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
NRG Energy, Inc. |
|||||||||||
$ |
81,000 |
7.63%, due 01/15/18 |
$ |
87,278 |
|||||||
332,000 |
7.88%, due 05/15/21 |
344,450 |
|||||||||
Talen Energy Supply LLC |
|||||||||||
400,000 |
4.62%, due 07/15/19 (b) |
368,000 |
|||||||||
3,518,591 |
|||||||||||
Insurance � 0.6% |
|||||||||||
HUB International Ltd. |
|||||||||||
556,000 |
7.88%, due 10/01/21 (b) |
544,880 |
|||||||||
IT Services � 2.1% |
|||||||||||
First Data Corp. |
|||||||||||
706,000 |
7.00%, due 12/01/23 (b) |
715,707 |
|||||||||
1,107,000 |
5.75%, due 01/15/24 (b) |
1,107,000 |
|||||||||
1,822,707 |
|||||||||||
Media � 9.0% |
|||||||||||
Cequel Communications
Holdings I LLC/Cequel Capital Corp. |
|||||||||||
1,074,000 |
6.38%, due 09/15/20 (b) |
1,093,343 |
|||||||||
Clear Channel Worldwide
Holdings, Inc. |
|||||||||||
876,000 |
7.63%, due 03/15/20 |
840,960 |
|||||||||
748,000 |
6.50%, due 11/15/22 |
750,805 |
|||||||||
CSC Holdings LLC |
|||||||||||
100,000 |
6.75%, due 11/15/21 |
102,800 |
|||||||||
DISH DBS Corp. |
|||||||||||
400,000 |
5.88%, due 07/15/22 |
387,000 |
|||||||||
903,000 |
5.88%, due 11/15/24 |
835,736 |
|||||||||
Nielsen Finance LLC/Nielsen
Finance Co. |
|||||||||||
950,000 |
5.00%, due 04/15/22 (b) |
971,375 |
|||||||||
Sirius XM Radio, Inc. |
|||||||||||
1,008,000 |
6.00%, due 07/15/24 (b) |
1,055,880 |
|||||||||
Tribune Media Co. |
|||||||||||
474,000 |
5.88%, due 07/15/22 |
478,740 |
|||||||||
Univision Communications, Inc. |
|||||||||||
878,000 |
6.75%, due 09/15/22 (b) |
931,777 |
|||||||||
490,000 |
5.13%, due 02/15/25 (b) |
486,325 |
|||||||||
7,934,741 |
|||||||||||
Metals & Mining � 1.7% |
|||||||||||
First Quantum Minerals Ltd. |
|||||||||||
143,000 |
6.75%, due 02/15/20 (b) |
114,400 |
|||||||||
305,000 |
7.00%, due 02/15/21 (b) |
240,759 |
|||||||||
Freeport-McMoRan, Inc. |
|||||||||||
532,000 |
3.55%, due 03/01/22 |
445,550 |
|||||||||
800,000 |
5.45%, due 03/15/43 |
603,752 |
|||||||||
Teck Resources Ltd. |
|||||||||||
100,000 |
6.25%, due 07/15/41 |
70,500 |
|||||||||
1,474,961 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Multiline Retail � 1.7% |
|||||||||||
Dollar Tree, Inc. |
|||||||||||
$ |
1,422,000 |
5.75%, due 03/01/23 (b) |
$ |
1,501,987 |
|||||||
Oil, Gas & Consumable Fuels � 10.7% |
|||||||||||
Antero Resources Corp. |
|||||||||||
693,000 |
5.38%, due 11/01/21 |
675,675 |
|||||||||
300,000 |
5.13%, due 12/01/22 |
287,250 |
|||||||||
Citgo Holding, Inc. |
|||||||||||
930,000 |
10.75%, due 02/15/20 (b) |
930,000 |
|||||||||
Concho Resources, Inc. |
|||||||||||
776,000 |
5.50%, due 04/01/23 |
776,000 |
|||||||||
CONSOL Energy, Inc. |
|||||||||||
1,518,000 |
5.88%, due 04/15/22 |
1,237,170 |
|||||||||
Energy Transfer Equity LP |
|||||||||||
132,000 |
5.88%, due 01/15/24 |
122,430 |
|||||||||
1,082,000 |
5.50%, due 06/01/27 |
938,635 |
|||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. |
|||||||||||
901,000 |
9.38%, due 05/01/20 |
578,892 |
|||||||||
Jupiter Resources, Inc. |
|||||||||||
500,000 |
8.50%, due 10/01/22 (b) |
312,500 |
|||||||||
MEG Energy Corp. |
|||||||||||
809,000 |
7.00%, due 03/31/24 (b) |
622,930 |
|||||||||
Oasis Petroleum, Inc. |
|||||||||||
531,000 |
6.88%, due 03/15/22 |
488,520 |
|||||||||
Sanchez Energy Corp. |
|||||||||||
821,000 |
6.13%, due 01/15/23 |
591,120 |
|||||||||
Southwestern Energy Co. |
|||||||||||
100,000 |
4.95%, due 01/23/25 |
83,750 |
|||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. |
|||||||||||
417,000 |
5.00%, due 01/15/18 |
425,340 |
|||||||||
Whiting Petroleum Corp. |
|||||||||||
352,000 |
5.00%, due 03/15/19 |
316,800 |
|||||||||
350,000 |
5.75%, due 03/15/21 |
296,625 |
|||||||||
Williams Cos., Inc. (The) |
|||||||||||
105,000 |
4.55%, due 06/24/24 |
91,613 |
|||||||||
WPX Energy, Inc. |
|||||||||||
820,000 |
6.00%, due 01/15/22 |
738,000 |
|||||||||
9,513,250 |
|||||||||||
Personal Products � 0.5% |
|||||||||||
NBTY, Inc. |
|||||||||||
400,000 |
7.63%, due 05/15/21 (b) |
408,000 |
|||||||||
Pharmaceuticals � 3.0% |
|||||||||||
Endo Ltd./Endo Finance LLC/ Endo Finco, Inc. |
|||||||||||
376,000 |
6.00%, due 07/15/23 (b) |
329,154 |
|||||||||
675,000 |
6.00%, due 02/01/25 (b) |
585,562 |
See accompanying notes to the financial statements.
38 :: HYHG HIGH YIELD�INTEREST RATE HEDGED :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Valeant Pharmaceuticals International, Inc. |
|||||||||||
$ |
1,051,000 |
5.88%, due 05/15/23 (b) |
$ |
885,468 |
|||||||
973,000 |
6.13%, due 04/15/25 (b) |
813,671 |
|||||||||
2,613,855 |
|||||||||||
Real Estate Investment Trusts (REITs) � 2.1% |
|||||||||||
Equinix, Inc. |
|||||||||||
663,000 |
5.38%, due 04/01/23 |
682,061 |
|||||||||
503,000 |
5.88%, due 01/15/26 |
524,378 |
|||||||||
Iron Mountain, Inc. |
|||||||||||
624,000 |
5.75%, due 08/15/24 |
624,000 |
|||||||||
1,830,439 |
|||||||||||
Semiconductors &
Semiconductor Equipment � 1.2% |
|||||||||||
Micron Technology, Inc. |
|||||||||||
1,281,000 |
5.50%, due 02/01/25 |
1,072,838 |
|||||||||
Software � 2.5% |
|||||||||||
BMC Software Finance, Inc. |
|||||||||||
850,000 |
8.13%, due 07/15/21 (b) |
626,875 |
|||||||||
Infor US, Inc. |
|||||||||||
789,000 |
6.50%, due 05/15/22 |
723,908 |
|||||||||
Nuance Communications, Inc. |
|||||||||||
505,000 |
5.38%, due 08/15/20 (b) |
513,206 |
|||||||||
Solera LLC/Solera Finance, Inc. |
|||||||||||
308,000 |
10.50%, due 03/01/24 (b) |
334,180 |
|||||||||
2,198,169 |
|||||||||||
Specialty Retail � 0.4% |
|||||||||||
Claire's Stores, Inc. |
|||||||||||
300,000 |
9.00%, due 03/15/19 (b) |
184,500 |
|||||||||
L Brands, Inc. |
|||||||||||
169,000 |
5.63%, due 02/15/22 |
180,619 |
|||||||||
365,119 |
|||||||||||
Technology Hardware, Storage &
Peripherals � 0.2% |
|||||||||||
Western Digital Corp. |
|||||||||||
195,000 |
10.50%, due 04/01/24 (b) |
201,825 |
|||||||||
Thrifts & Mortgage Finance � 1.1% |
|||||||||||
Quicken Loans, Inc. |
|||||||||||
988,000 |
5.75%, due 05/01/25 (b) |
936,130 |
|||||||||
Trading Companies & Distributors � 1.8% |
|||||||||||
HD Supply, Inc. |
|||||||||||
895,000 |
7.50%, due 07/15/20 |
944,225 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
United Rentals North America, Inc. |
|||||||||||
$ |
334,000 |
7.63%, due 04/15/22 |
$ |
355,292 |
|||||||
337,000 |
4.63%, due 07/15/23 |
334,473 |
|||||||||
1,633,990 |
|||||||||||
Wireless Telecommunication Services � 3.9% |
|||||||||||
Sprint Communications, Inc. |
|||||||||||
363,000 |
9.00%, due 11/15/18 (b) |
386,141 |
|||||||||
Sprint Corp. |
|||||||||||
2,071,000 |
7.88%, due 09/15/23 |
1,615,380 |
|||||||||
T-Mobile USA, Inc. |
|||||||||||
1,020,000 |
6.25%, due 04/01/21 |
1,068,450 |
|||||||||
400,000 |
6.50%, due 01/15/26 |
423,000 |
|||||||||
3,492,971 |
|||||||||||
Total Corporate
Bonds (Cost $90,651,427) |
85,059,613 |
||||||||||
Repurchase Agreements (a) � 3.4% |
|||||||||||
3,033,365 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $3,033,388 |
3,033,365 |
|||||||||
Total Repurchase Agreements (Cost $3,033,365) |
3,033,365 |
||||||||||
Total Investment
Securities (Cost $93,684,792) � 99.4% |
88,092,978 |
||||||||||
Other assets less liabilities � 0.6% |
523,875 |
||||||||||
Net Assets � 100.0% |
$ |
88,616,853 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(b) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
508,592 |
|||||
Aggregate gross unrealized depreciation |
(6,139,091 |
) |
|||||
Net unrealized depreciation |
$ |
(5,630,499 |
) |
||||
Federal income tax cost of investments |
$ |
93,723,477 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HIGH YIELD�INTEREST RATE HEDGED HYHG :: 39
Futures Contracts Sold
High Yield-Interest Rate Hedged had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
279 |
09/21/16 |
$ |
36,182,812 |
$ |
33,850 |
|||||||||||||
U.S. 2 Year Treasury Note Futures Contracts |
75 |
09/30/16 |
16,342,969 |
5,371 |
|||||||||||||||
U.S. 5 Year Treasury Note Futures Contracts |
292 |
09/30/16 |
35,074,219 |
25,935 |
|||||||||||||||
$ |
65,156 |
Cash collateral in the amount of $694,210 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
40 :: HYHG HIGH YIELD�INTEREST RATE HEDGED :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds � 95.8% |
|||||||||||
Aerospace & Defense � 1.3% |
|||||||||||
Lockheed Martin Corp. |
|||||||||||
$ |
340,000 |
4.07%, due 12/15/42 |
$ |
344,664 |
|||||||
United Technologies Corp. |
|||||||||||
100,000 |
3.10%, due 06/01/22 |
104,893 |
|||||||||
617,000 |
6.13%, due 07/15/38 |
809,881 |
|||||||||
240,000 |
5.70%, due 04/15/40 |
302,967 |
|||||||||
1,562,405 |
|||||||||||
Air Freight & Logistics � 0.5% |
|||||||||||
United Parcel Service, Inc. |
|||||||||||
584,000 |
2.45%, due 10/01/22 |
595,970 |
|||||||||
Automobiles � 1.5% |
|||||||||||
Daimler Finance North America LLC |
|||||||||||
100,000 |
8.50%, due 01/18/31 |
159,074 |
|||||||||
Ford Motor Co. |
|||||||||||
620,000 |
7.45%, due 07/16/31 |
809,301 |
|||||||||
General Motors Co. |
|||||||||||
538,000 |
4.88%, due 10/02/23 |
571,607 |
|||||||||
251,000 |
5.20%, due 04/01/45 |
244,196 |
|||||||||
1,784,178 |
|||||||||||
Banks � 19.2% |
|||||||||||
Bank of America Corp. |
|||||||||||
330,000 |
5.70%, due 01/24/22 |
377,810 |
|||||||||
1,041,000 |
3.30%, due 01/11/23 |
1,059,798 |
|||||||||
248,000 |
6.11%, due 01/29/37 |
287,139 |
|||||||||
952,000 |
7.75%, due 05/14/38 |
1,311,446 |
|||||||||
351,000 |
4.88%, due 04/01/44 |
388,601 |
|||||||||
Bank of Nova Scotia (The) |
|||||||||||
450,000 |
4.50%, due 12/16/25 |
463,088 |
|||||||||
Barclays PLC |
|||||||||||
446,000 |
4.38%, due 09/11/24 |
438,045 |
|||||||||
400,000 |
4.38%, due 01/12/26 |
407,549 |
|||||||||
Citigroup, Inc. |
|||||||||||
450,000 |
3.50%, due 05/15/23 |
453,866 |
|||||||||
450,000 |
3.88%, due 03/26/25 |
449,905 |
|||||||||
107,000 |
5.50%, due 09/13/25 |
117,962 |
|||||||||
425,000 |
3.70%, due 01/12/26 |
439,361 |
|||||||||
150,000 |
4.30%, due 11/20/26 |
151,918 |
|||||||||
240,000 |
4.45%, due 09/29/27 |
243,510 |
|||||||||
246,000 |
5.88%, due 01/30/42 |
302,144 |
|||||||||
422,000 |
6.68%, due 09/13/43 |
521,560 |
|||||||||
608,000 |
5.30%, due 05/06/44 |
638,145 |
|||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. |
|||||||||||
806,000 |
3.88%, due 02/08/22 |
870,907 |
|||||||||
1,037,000 |
4.63%, due 12/01/23 |
1,098,898 |
|||||||||
150,000 |
5.25%, due 05/24/41 |
182,847 |
|||||||||
263,000 |
5.25%, due 08/04/45 |
289,975 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Fifth Third Bancorp |
|||||||||||
$ |
507,000 |
8.25%, due 03/01/38 |
$ |
735,450 |
|||||||
HSBC Holdings PLC |
|||||||||||
627,000 |
4.25%, due 03/14/24 |
635,242 |
|||||||||
150,000 |
6.50%, due 05/02/36 |
178,532 |
|||||||||
1,211,000 |
6.80%, due 06/01/38 |
1,490,441 |
|||||||||
417,000 |
5.25%, due 03/14/44 |
438,531 |
|||||||||
JPMorgan Chase & Co. |
|||||||||||
902,000 |
4.50%, due 01/24/22 |
991,241 |
|||||||||
1,237,000 |
3.25%, due 09/23/22 |
1,272,907 |
|||||||||
141,000 |
3.88%, due 09/10/24 |
144,411 |
|||||||||
719,000 |
6.40%, due 05/15/38 |
961,202 |
|||||||||
111,000 |
4.95%, due 06/01/45 |
118,956 |
|||||||||
Lloyds Banking Group PLC |
|||||||||||
206,000 |
4.50%, due 11/04/24 |
209,470 |
|||||||||
328,000 |
4.65%, due 03/24/26 |
331,388 |
|||||||||
Mitsubishi UFJ Financial Group, Inc. |
|||||||||||
254,000 |
3.85%, due 03/01/26 |
270,045 |
|||||||||
Santander UK PLC |
|||||||||||
585,000 |
4.00%, due 03/13/24 |
631,069 |
|||||||||
Sumitomo Mitsui Financial Group, Inc. |
|||||||||||
388,000 |
3.78%, due 03/09/26 |
409,413 |
|||||||||
Wells Fargo & Co. |
|||||||||||
240,000 |
3.50%, due 03/08/22 |
254,290 |
|||||||||
1,132,000 |
3.30%, due 09/09/24 |
1,167,394 |
|||||||||
1,581,000 |
3.00%, due 02/19/25 |
1,584,285 |
|||||||||
287,000 |
3.90%, due 05/01/45 |
290,132 |
|||||||||
Wells Fargo Bank N.A. |
|||||||||||
250,000 |
6.60%, due 01/15/38 |
335,786 |
|||||||||
22,944,659 |
|||||||||||
Beverages � 1.9% |
|||||||||||
Anheuser-Busch InBev
Worldwide, Inc. |
|||||||||||
400,000 |
2.50%, due 07/15/22 |
398,239 |
|||||||||
500,000 |
3.75%, due 07/15/42 |
477,964 |
|||||||||
Coca-Cola Co. (The) |
|||||||||||
179,000 |
3.20%, due 11/01/23 |
190,888 |
|||||||||
Molson Coors Brewing Co. |
|||||||||||
204,000 |
5.00%, due 05/01/42 |
221,055 |
|||||||||
PepsiCo, Inc. |
|||||||||||
996,000 |
2.75%, due 03/05/22 |
1,030,093 |
|||||||||
2,318,239 |
|||||||||||
Biotechnology � 0.1% |
|||||||||||
Celgene Corp. |
|||||||||||
113,000 |
3.55%, due 08/15/22 |
117,462 |
|||||||||
Capital Markets � 8.0% |
|||||||||||
BlackRock, Inc. |
|||||||||||
190,000 |
3.50%, due 03/18/24 |
203,564 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: INVESTMENT GRADE�INTEREST RATE HEDGED IGHG :: 41
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Credit Suisse Group Funding Guernsey Ltd. |
|||||||||||
$ |
299,000 |
3.80%, due 09/15/22 |
$ |
301,540 |
|||||||
400,000 |
3.75%, due 03/26/25 |
391,721 |
|||||||||
400,000 |
4.88%, due 05/15/45 |
400,243 |
|||||||||
Deutsche Bank AG |
|||||||||||
199,000 |
3.70%, due 05/30/24 |
197,852 |
|||||||||
Goldman Sachs Group, Inc. (The) |
|||||||||||
288,000 |
3.63%, due 01/22/23 |
298,534 |
|||||||||
531,000 |
5.95%, due 01/15/27 |
605,380 |
|||||||||
1,696,000 |
6.13%, due 02/15/33 |
2,085,449 |
|||||||||
370,000 |
6.45%, due 05/01/36 |
433,934 |
|||||||||
Morgan Stanley |
|||||||||||
1,155,000 |
3.88%, due 04/29/24 |
1,214,557 |
|||||||||
736,000 |
3.70%, due 10/23/24 |
759,541 |
|||||||||
1,427,000 |
5.00%, due 11/24/25 |
1,549,108 |
|||||||||
State Street Corp. |
|||||||||||
1,044,000 |
3.70%, due 11/20/23 |
1,133,666 |
|||||||||
9,575,089 |
|||||||||||
Chemicals � 0.9% |
|||||||||||
Dow Chemical Co. (The) |
|||||||||||
292,000 |
7.38%, due 11/01/29 |
377,645 |
|||||||||
Ecolab, Inc. |
|||||||||||
300,000 |
4.35%, due 12/08/21 |
333,000 |
|||||||||
EI du Pont de Nemours & Co. |
|||||||||||
330,000 |
2.80%, due 02/15/23 |
331,322 |
|||||||||
1,041,967 |
|||||||||||
Communications Equipment � 0.9% |
|||||||||||
Cisco Systems, Inc. |
|||||||||||
829,000 |
3.63%, due 03/04/24 |
914,264 |
|||||||||
Telefonaktiebolaget LM Ericsson |
|||||||||||
150,000 |
4.13%, due 05/15/22 |
158,823 |
|||||||||
1,073,087 |
|||||||||||
Consumer Finance � 0.7% |
|||||||||||
American Express Co. |
|||||||||||
100,000 |
4.05%, due 12/03/42 |
101,268 |
|||||||||
Ford Motor Credit Co. LLC |
|||||||||||
729,000 |
4.38%, due 08/06/23 |
781,901 |
|||||||||
883,169 |
|||||||||||
Diversified Financial Services � 2.6% |
|||||||||||
Shell International Finance B.V. |
|||||||||||
640,000 |
2.38%, due 08/21/22 |
644,805 |
|||||||||
154,000 |
2.25%, due 01/06/23 |
151,216 |
|||||||||
450,000 |
3.25%, due 05/11/25 |
460,973 |
|||||||||
364,000 |
5.50%, due 03/25/40 |
427,458 |
|||||||||
682,000 |
4.55%, due 08/12/43 |
711,833 |
|||||||||
638,000 |
4.38%, due 05/11/45 |
659,011 |
|||||||||
3,055,296 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Diversified Telecommunication
Services � 5.5% |
|||||||||||
AT&T, Inc. |
|||||||||||
$ |
305,000 |
3.80%, due 03/15/22 |
$ |
318,219 |
|||||||
375,000 |
6.50%, due 09/01/37 |
451,631 |
|||||||||
180,000 |
5.35%, due 09/01/40 |
191,542 |
|||||||||
1,226,000 |
5.55%, due 08/15/41 |
1,338,989 |
|||||||||
CC Holdings GS V LLC/ Crown Castle GS III Corp. |
|||||||||||
434,000 |
3.85%, due 04/15/23 |
451,698 |
|||||||||
Telefonica Emisiones SAU |
|||||||||||
636,000 |
7.05%, due 06/20/36 |
795,838 |
|||||||||
Verizon Communications, Inc. |
|||||||||||
1,171,000 |
5.15%, due 09/15/23 |
1,343,099 |
|||||||||
244,000 |
5.85%, due 09/15/35 |
287,693 |
|||||||||
339,000 |
6.00%, due 04/01/41 |
406,765 |
|||||||||
650,000 |
4.86%, due 08/21/46 |
693,959 |
|||||||||
294,000 |
4.52%, due 09/15/48 |
296,915 |
|||||||||
6,576,348 |
|||||||||||
Electric Utilities � 1.1% |
|||||||||||
Duke Energy Florida LLC |
|||||||||||
100,000 |
6.40%, due 06/15/38 |
137,654 |
|||||||||
FirstEnergy Corp. |
|||||||||||
127,000 |
7.38%, due 11/15/31 |
154,883 |
|||||||||
Georgia Power Co. |
|||||||||||
100,000 |
4.30%, due 03/15/42 |
107,043 |
|||||||||
Pacific Gas & Electric Co. |
|||||||||||
691,000 |
6.05%, due 03/01/34 |
905,936 |
|||||||||
1,305,516 |
|||||||||||
Energy Equipment & Services � 0.4% |
|||||||||||
Baker Hughes, Inc. |
|||||||||||
123,000 |
5.13%, due 09/15/40 |
131,779 |
|||||||||
Halliburton Co. |
|||||||||||
234,000 |
7.45%, due 09/15/39 |
309,331 |
|||||||||
441,110 |
|||||||||||
Food & Staples Retailing � 2.6% |
|||||||||||
Wal-Mart Stores, Inc. |
|||||||||||
584,000 |
7.55%, due 02/15/30 |
869,566 |
|||||||||
582,000 |
5.25%, due 09/01/35 |
733,852 |
|||||||||
81,000 |
6.50%, due 08/15/37 |
113,616 |
|||||||||
1,039,000 |
5.63%, due 04/15/41 |
1,339,060 |
|||||||||
3,056,094 |
|||||||||||
Food Products � 0.9% |
|||||||||||
Kraft Heinz Foods Co. |
|||||||||||
853,000 |
3.50%, due 06/06/22 |
889,675 |
|||||||||
Unilever Capital Corp. |
|||||||||||
127,000 |
5.90%, due 11/15/32 |
171,197 |
|||||||||
1,060,872 |
See accompanying notes to the financial statements.
42 :: IGHG INVESTMENT GRADE�INTEREST RATE HEDGED :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Health Care Equipment & Supplies � 1.8% |
|||||||||||
Medtronic, Inc. |
|||||||||||
$ |
233,000 |
3.15%, due 03/15/22 |
$ |
245,352 |
|||||||
1,181,000 |
3.50%, due 03/15/25 |
1,259,701 |
|||||||||
621,000 |
4.63%, due 03/15/45 |
696,681 |
|||||||||
2,201,734 |
|||||||||||
Health Care Providers & Services � 2.6% |
|||||||||||
Anthem, Inc. |
|||||||||||
467,000 |
3.30%, due 01/15/23 |
474,046 |
|||||||||
HCA, Inc. |
|||||||||||
888,000 |
5.25%, due 04/15/25 |
914,640 |
|||||||||
Howard Hughes Medical Institute |
|||||||||||
284,000 |
3.50%, due 09/01/23 |
307,077 |
|||||||||
UnitedHealth Group, Inc. |
|||||||||||
734,000 |
6.88%, due 02/15/38 |
1,044,635 |
|||||||||
350,000 |
4.75%, due 07/15/45 |
400,725 |
|||||||||
3,141,123 |
|||||||||||
Household Products � 0.5% |
|||||||||||
Procter & Gamble Co. (The) |
|||||||||||
561,000 |
2.30%, due 02/06/22 |
574,281 |
|||||||||
Industrial Conglomerates � 3.0% |
|||||||||||
General Electric Co. |
|||||||||||
163,000 |
3.15%, due 09/07/22 |
171,871 |
|||||||||
660,000 |
2.70%, due 10/09/22 |
680,649 |
|||||||||
185,000 |
3.10%, due 01/09/23 |
194,759 |
|||||||||
500,000 |
6.75%, due 03/15/32 |
691,557 |
|||||||||
488,000 |
6.88%, due 01/10/39 |
714,221 |
|||||||||
550,000 |
4.13%, due 10/09/42 |
582,754 |
|||||||||
219,000 |
4.50%, due 03/11/44 |
244,219 |
|||||||||
Koninklijke Philips N.V. |
|||||||||||
241,000 |
6.88%, due 03/11/38 |
304,825 |
|||||||||
3,584,855 |
|||||||||||
Insurance � 1.6% |
|||||||||||
American International Group, Inc. |
|||||||||||
482,000 |
4.88%, due 06/01/22 |
526,841 |
|||||||||
123,000 |
4.13%, due 02/15/24 |
128,032 |
|||||||||
AXA S.A. |
|||||||||||
239,000 |
8.60%, due 12/15/30 |
320,308 |
|||||||||
MetLife, Inc. |
|||||||||||
364,000 |
5.70%, due 06/15/35 |
434,401 |
|||||||||
517,000 |
4.05%, due 03/01/45 |
499,165 |
|||||||||
1,908,747 |
|||||||||||
IT Services � 1.2% |
|||||||||||
International Business Machines Corp. |
|||||||||||
895,000 |
3.63%, due 02/12/24 |
969,669 |
|||||||||
183,000 |
4.00%, due 06/20/42 |
187,975 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
MasterCard, Inc. |
|||||||||||
$ |
212,000 |
3.38%, due 04/01/24 |
$ |
225,771 |
|||||||
1,383,415 |
|||||||||||
Machinery � 0.3% |
|||||||||||
Caterpillar, Inc. |
|||||||||||
394,000 |
3.80%, due 08/15/42 |
380,517 |
|||||||||
Media � 7.6% |
|||||||||||
21st Century Fox America, Inc. |
|||||||||||
500,000 |
6.40%, due 12/15/35 |
616,942 |
|||||||||
550,000 |
6.65%, due 11/15/37 |
701,610 |
|||||||||
Comcast Cable Communications Holdings, Inc. |
|||||||||||
157,000 |
9.46%, due 11/15/22 |
219,572 |
|||||||||
Comcast Corp. |
|||||||||||
455,000 |
3.13%, due 07/15/22 |
477,929 |
|||||||||
892,000 |
3.60%, due 03/01/24 |
957,805 |
|||||||||
511,000 |
4.25%, due 01/15/33 |
546,741 |
|||||||||
821,000 |
6.50%, due 11/15/35 |
1,094,385 |
|||||||||
Historic TW, Inc. |
|||||||||||
687,000 |
6.63%, due 05/15/29 |
858,299 |
|||||||||
NBCUniversal Media LLC |
|||||||||||
371,000 |
5.95%, due 04/01/41 |
471,392 |
|||||||||
Omnicom Group, Inc. |
|||||||||||
198,000 |
3.63%, due 05/01/22 |
208,034 |
|||||||||
Time Warner Cable, Inc. |
|||||||||||
233,000 |
7.30%, due 07/01/38 |
280,545 |
|||||||||
640,000 |
6.75%, due 06/15/39 |
726,880 |
|||||||||
Time Warner Entertainment Co. LP |
|||||||||||
204,000 |
8.38%, due 03/15/23 |
260,684 |
|||||||||
Time Warner, Inc. |
|||||||||||
280,000 |
7.70%, due 05/01/32 |
373,955 |
|||||||||
380,000 |
6.10%, due 07/15/40 |
450,808 |
|||||||||
Viacom, Inc. |
|||||||||||
420,000 |
4.38%, due 03/15/43 |
321,224 |
|||||||||
Walt Disney Co. (The) |
|||||||||||
501,000 |
2.35%, due 12/01/22 |
510,689 |
|||||||||
9,077,494 |
|||||||||||
Metals & Mining � 2.4% |
|||||||||||
BHP Billiton Finance USA Ltd. |
|||||||||||
287,000 |
3.85%, due 09/30/23 |
299,763 |
|||||||||
495,000 |
4.13%, due 02/24/42 |
471,194 |
|||||||||
349,000 |
5.00%, due 09/30/43 |
370,695 |
|||||||||
Southern Copper Corp. |
|||||||||||
768,000 |
5.25%, due 11/08/42 |
633,681 |
|||||||||
Vale Overseas Ltd. |
|||||||||||
510,000 |
6.88%, due 11/21/36 |
423,300 |
|||||||||
257,000 |
6.88%, due 11/10/39 |
210,097 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: INVESTMENT GRADE�INTEREST RATE HEDGED IGHG :: 43
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Vale S.A. |
|||||||||||
$ |
669,000 |
5.63%, due 09/11/42 |
$ |
506,767 |
|||||||
2,915,497 |
|||||||||||
Multiline Retail � 1.0% |
|||||||||||
Target Corp. |
|||||||||||
180,000 |
2.90%, due 01/15/22 |
189,168 |
|||||||||
1,006,000 |
4.00%, due 07/01/42 |
1,039,891 |
|||||||||
1,229,059 |
|||||||||||
Multi-Utilities � 0.6% |
|||||||||||
Berkshire Hathaway Energy Co. |
|||||||||||
504,000 |
6.50%, due 09/15/37 |
677,676 |
|||||||||
Oil, Gas & Consumable Fuels � 8.3% |
|||||||||||
Anadarko Petroleum Corp. |
|||||||||||
293,000 |
6.45%, due 09/15/36 |
314,563 |
|||||||||
Apache Corp. |
|||||||||||
200,000 |
6.00%, due 01/15/37 |
217,702 |
|||||||||
BP Capital Markets PLC |
|||||||||||
303,000 |
3.25%, due 05/06/22 |
312,143 |
|||||||||
415,000 |
2.75%, due 05/10/23 |
408,746 |
|||||||||
662,000 |
3.81%, due 02/10/24 |
695,843 |
|||||||||
Canadian Natural Resources Ltd. |
|||||||||||
182,000 |
6.25%, due 03/15/38 |
177,032 |
|||||||||
Cenovus Energy, Inc. |
|||||||||||
252,000 |
6.75%, due 11/15/39 |
242,157 |
|||||||||
CNOOC Finance 2013 Ltd. |
|||||||||||
200,000 |
3.00%, due 05/09/23 |
193,971 |
|||||||||
CNOOC Finance 2015 USA LLC |
|||||||||||
450,000 |
3.50%, due 05/05/25 |
443,407 |
|||||||||
ConocoPhillips |
|||||||||||
614,000 |
6.50%, due 02/01/39 |
758,125 |
|||||||||
Devon Energy Corp. |
|||||||||||
404,000 |
7.95%, due 04/15/32 |
434,860 |
|||||||||
Ecopetrol S.A. |
|||||||||||
783,000 |
5.88%, due 09/18/23 |
783,744 |
|||||||||
Hess Corp. |
|||||||||||
244,000 |
5.60%, due 02/15/41 |
235,930 |
|||||||||
Kinder Morgan Energy Partners LP |
|||||||||||
100,000 |
6.95%, due 01/15/38 |
103,816 |
|||||||||
Kinder Morgan, Inc. |
|||||||||||
319,000 |
7.75%, due 01/15/32 |
345,111 |
|||||||||
Nexen Energy ULC |
|||||||||||
612,000 |
6.40%, due 05/15/37 |
726,145 |
|||||||||
Phillips 66 |
|||||||||||
440,000 |
4.30%, due 04/01/22 |
471,340 |
|||||||||
200,000 |
5.88%, due 05/01/42 |
224,827 |
|||||||||
Statoil ASA |
|||||||||||
317,000 |
3.70%, due 03/01/24 |
335,537 |
|||||||||
Suncor Energy, Inc. |
|||||||||||
209,000 |
6.50%, due 06/15/38 |
248,370 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Total Capital International S.A. |
|||||||||||
$ |
184,000 |
2.88%, due 02/17/22 |
$ |
188,236 |
|||||||
494,000 |
2.70%, due 01/25/23 |
493,342 |
|||||||||
103,000 |
3.70%, due 01/15/24 |
109,603 |
|||||||||
157,000 |
3.75%, due 04/10/24 |
167,066 |
|||||||||
TransCanada PipeLines Ltd. |
|||||||||||
100,000 |
2.50%, due 08/01/22 |
97,006 |
|||||||||
469,000 |
6.20%, due 10/15/37 |
536,585 |
|||||||||
Valero Energy Corp. |
|||||||||||
368,000 |
6.63%, due 06/15/37 |
383,932 |
|||||||||
Williams Partners LP |
|||||||||||
214,000 |
6.30%, due 04/15/40 |
196,919 |
|||||||||
9,846,058 |
|||||||||||
Pharmaceuticals � 6.4% |
|||||||||||
AbbVie, Inc. |
|||||||||||
298,000 |
2.90%, due 11/06/22 |
299,552 |
|||||||||
738,000 |
4.40%, due 11/06/42 |
730,688 |
|||||||||
AstraZeneca PLC |
|||||||||||
880,000 |
6.45%, due 09/15/37 |
1,169,406 |
|||||||||
150,000 |
4.00%, due 09/18/42 |
148,631 |
|||||||||
GlaxoSmithKline Capital PLC |
|||||||||||
1,020,000 |
2.85%, due 05/08/22 |
1,057,232 |
|||||||||
GlaxoSmithKline Capital, Inc. |
|||||||||||
170,000 |
6.38%, due 05/15/38 |
233,558 |
|||||||||
Merck & Co., Inc. |
|||||||||||
132,000 |
2.35%, due 02/10/22 |
133,997 |
|||||||||
1,056,000 |
4.15%, due 05/18/43 |
1,126,953 |
|||||||||
Novartis Capital Corp. |
|||||||||||
330,000 |
2.40%, due 09/21/22 |
336,003 |
|||||||||
856,000 |
4.40%, due 05/06/44 |
985,187 |
|||||||||
Pfizer, Inc. |
|||||||||||
489,000 |
3.00%, due 06/15/23 |
511,671 |
|||||||||
200,000 |
3.40%, due 05/15/24 |
213,485 |
|||||||||
451,000 |
7.20%, due 03/15/39 |
658,431 |
|||||||||
7,604,794 |
|||||||||||
Real Estate Investment Trusts (REITs) � 0.8% |
|||||||||||
American Tower Corp. |
|||||||||||
597,000 |
3.50%, due 01/31/23 |
608,565 |
|||||||||
Weyerhaeuser Co. |
|||||||||||
235,000 |
7.38%, due 03/15/32 |
298,386 |
|||||||||
906,951 |
|||||||||||
Semiconductors &
Semiconductor Equipment � 0.8% |
|||||||||||
Intel Corp. |
|||||||||||
846,000 |
4.80%, due 10/01/41 |
939,334 |
|||||||||
Software � 1.6% |
|||||||||||
Microsoft Corp. |
|||||||||||
339,000 |
5.30%, due 02/08/41 |
417,896 |
See accompanying notes to the financial statements.
44 :: IGHG INVESTMENT GRADE�INTEREST RATE HEDGED :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Oracle Corp. |
|||||||||||
$ |
1,174,000 |
6.13%, due 07/08/39 |
$ |
1,536,587 |
|||||||
1,954,483 |
|||||||||||
Specialty Retail � 0.6% |
|||||||||||
Home Depot, Inc. (The) |
|||||||||||
546,000 |
5.88%, due 12/16/36 |
709,771 |
|||||||||
Technology Hardware, Storage &
Peripherals � 3.4% |
|||||||||||
Apple, Inc. |
|||||||||||
477,000 |
2.70%, due 05/13/22 |
490,090 |
|||||||||
595,000 |
2.40%, due 05/03/23 |
594,632 |
|||||||||
126,000 |
3.45%, due 05/06/24 |
134,070 |
|||||||||
700,000 |
2.50%, due 02/09/25 |
693,848 |
|||||||||
468,000 |
3.20%, due 05/13/25 |
487,132 |
|||||||||
1,015,000 |
3.85%, due 05/04/43 |
991,726 |
|||||||||
100,000 |
3.45%, due 02/09/45 |
91,192 |
|||||||||
HP, Inc. |
|||||||||||
100,000 |
4.65%, due 12/09/21 |
105,964 |
|||||||||
Seagate HDD Cayman |
|||||||||||
446,000 |
4.75%, due 06/01/23 |
372,722 |
|||||||||
150,000 |
4.75%, due 01/01/25 |
115,313 |
|||||||||
4,076,689 |
|||||||||||
Thrifts & Mortgage Finance � 0.4% |
|||||||||||
BPCE S.A. |
|||||||||||
500,000 |
4.00%, due 04/15/24 |
534,244 |
|||||||||
Tobacco � 1.1% |
|||||||||||
Altria Group, Inc. |
|||||||||||
291,000 |
2.85%, due 08/09/22 |
299,596 |
|||||||||
200,000 |
4.00%, due 01/31/24 |
219,150 |
|||||||||
322,000 |
5.38%, due 01/31/44 |
391,743 |
|||||||||
Philip Morris International, Inc. |
|||||||||||
333,000 |
6.38%, due 05/16/38 |
441,995 |
|||||||||
1,352,484 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Wireless Telecommunication Services � 1.7% |
|||||||||||
America Movil SAB de CV |
|||||||||||
$ |
735,000 |
3.13%, due 07/16/22 |
$ |
746,693 |
|||||||
Vodafone Group PLC |
|||||||||||
921,000 |
2.95%, due 02/19/23 |
911,284 |
|||||||||
350,000 |
4.38%, due 02/19/43 |
323,470 |
|||||||||
1,981,447 |
|||||||||||
Total Corporate
Bonds (Cost $111,775,385) |
114,372,114 |
||||||||||
Repurchase Agreements (a) � 2.5% |
|||||||||||
2,977,850 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,977,872 |
2,977,850 |
|||||||||
Total Repurchase Agreements (Cost $2,977,850) |
2,977,850 |
||||||||||
Total Investment
Securities (Cost $114,753,235) � 98.3% |
117,349,964 |
||||||||||
Other assets less liabilities � 1.7% |
2,014,174 |
||||||||||
Net Assets � 100.0% |
$ |
119,364,138 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
3,372,522 |
|||||
Aggregate gross unrealized depreciation |
(921,413 |
) |
|||||
Net unrealized appreciation |
$ |
2,451,109 |
|||||
Federal income tax cost of investments |
$ |
114,898,855 |
Futures Contracts Sold
Investment Grade-Interest Rate Hedged had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
486 |
09/21/16 |
$ |
63,028,125 |
$ |
58,537 |
|||||||||||||
U.S. Long Bond Futures Contracts |
252 |
09/21/16 |
41,154,750 |
(39,556 |
) |
||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures Contracts |
57 |
09/21/16 |
9,982,125 |
(3,913 |
) |
||||||||||||||
$ |
15,068 |
Cash collateral in the amount of $1,955,910 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: INVESTMENT GRADE�INTEREST RATE HEDGED IGHG :: 45
Principal Amount |
Value |
||||||||||
Corporate Bonds � 99.2% |
|||||||||||
Banks � 94.6% |
|||||||||||
Australia & New Zealand
Banking Group Ltd. |
|||||||||||
$ |
250,000 |
2.05%, due 05/27/20 (b) |
$ |
251,869 |
|||||||
Bank of Nova Scotia (The) |
|||||||||||
320,000 |
1.85%, due 04/14/20 |
319,990 |
|||||||||
Canadian Imperial Bank of
Commerce |
|||||||||||
200,000 |
2.25%, due 07/21/20 (b) |
202,757 |
|||||||||
Commonwealth Bank of Australia |
|||||||||||
300,000 |
1.88%, due 12/11/18 (b) |
302,438 |
|||||||||
Credit Mutuel - CIC Home
Loan SFH |
|||||||||||
200,000 |
1.50%, due 11/16/17 (b) |
199,907 |
|||||||||
DNB Boligkreditt AS |
|||||||||||
270,000 |
1.45%, due 03/21/18 (b) |
269,489 |
|||||||||
National Australia Bank Ltd. |
|||||||||||
295,000 |
2.00%, due 02/22/19 (b) |
298,175 |
|||||||||
Norddeutsche Landesbank
Girozentrale |
|||||||||||
200,000 |
2.00%, due 02/05/19 (b) |
201,539 |
|||||||||
Royal Bank of Canada |
|||||||||||
330,000 |
2.00%, due 10/01/18 |
333,074 |
|||||||||
300,000 |
2.20%, due 09/23/19 |
305,418 |
|||||||||
380,000 |
1.88%, due 02/05/20 |
381,415 |
|||||||||
200,000 |
2.10%, due 10/14/20 |
201,232 |
|||||||||
180,000 |
2.30%, due 03/22/21 |
182,058 |
|||||||||
Skandinaviska Enskilda Banken AB |
|||||||||||
200,000 |
1.38%, due 05/29/18 (b) |
199,341 |
|||||||||
SpareBank 1 Boligkreditt AS |
|||||||||||
320,000 |
1.25%, due 05/02/18 (b) |
318,349 |
|||||||||
Stadshypotek AB |
|||||||||||
320,000 |
1.25%, due 05/23/18 (b) |
318,379 |
|||||||||
Swedbank Hypotek AB |
|||||||||||
200,000 |
1.38%, due 03/28/18 (b) |
199,945 |
|||||||||
Toronto-Dominion Bank (The) |
|||||||||||
200,000 |
2.25%, due 09/25/19 (b) |
203,897 |
|||||||||
Westpac Banking Corp. |
|||||||||||
200,000 |
1.38%, due 05/30/18 (b) |
199,960 |
|||||||||
440,000 |
1.85%, due 11/26/18 (b) |
443,628 |
|||||||||
200,000 |
2.00%, due 05/21/19 (b) |
201,811 |
|||||||||
350,000 |
2.00%, due 03/03/20 (b) |
351,407 |
|||||||||
360,000 |
2.10%, due 02/25/21 (b) |
362,181 |
|||||||||
6,248,259 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Capital Markets � 4.6% |
|||||||||||
ING Bank N.V. |
|||||||||||
$ |
300,000 |
2.63%, due 12/05/22 (b) |
$ |
305,192 |
|||||||
Total Corporate
Bonds (Cost $6,509,250) |
6,553,451 |
||||||||||
Repurchase Agreements (a) � 0.6% |
|||||||||||
42,600 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $42,600 |
42,600 |
|||||||||
Total Repurchase Agreements (Cost $42,600) |
42,600 |
||||||||||
Total Investment
Securities (Cost $6,551,850) � 99.8% |
6,596,051 |
||||||||||
Other assets less liabilities � 0.2% |
13,960 |
||||||||||
Net Assets � 100.0% |
$ |
6,610,011 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(b) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
50,573 |
|||||
Aggregate gross unrealized depreciation |
(6,372 |
) |
|||||
Net unrealized appreciation |
$ |
44,201 |
|||||
Federal income tax cost of investments |
$ |
6,551,850 |
See accompanying notes to the financial statements.
46 :: COBO USD COVERED BOND :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
USD Covered Bond invested, as a percentage of net assets, in the following countries as of May 31, 2016:
Australia |
36.5 |
% |
|||||
Canada |
32.2 |
% |
|||||
Sweden |
10.9 |
% |
|||||
Norway |
8.9 |
% |
|||||
Netherlands |
4.6 |
% |
|||||
Germany |
3.1 |
% |
|||||
France |
3.0 |
% |
|||||
Other1 |
0.8 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: USD COVERED BOND COBO :: 47
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations � 87.5% |
|||||||||||
Germany � 87.5% |
|||||||||||
Bund Laender Anleihe |
|||||||||||
EUR |
139,000 |
1.50%, due 07/15/20 |
$ |
165,403 |
|||||||
Bundesrepublik Deutschland |
|||||||||||
139,000 |
3.75%, due 01/04/19 |
171,992 |
|||||||||
136,000 |
3.50%, due 07/04/19 |
170,261 |
|||||||||
143,000 |
1.75%, due 07/04/22 |
179,055 |
|||||||||
158,000 |
0.50%, due 02/15/25 |
183,441 |
|||||||||
148,000 |
1.00%, due 08/15/25 |
178,687 |
|||||||||
Gemeinsame Deutsche
Bundeslaender |
|||||||||||
75,000 |
1.75%, due 06/13/22 |
92,109 |
|||||||||
65,000 |
0.50%, due 02/05/25 |
73,245 |
|||||||||
KFW |
|||||||||||
159,000 |
0.00%, due 12/07/18 |
178,786 |
|||||||||
141,000 |
3.88%, due 01/21/19 |
174,746 |
|||||||||
151,000 |
0.88%, due 03/18/19 |
174,110 |
|||||||||
159,000 |
0.13%, due 06/01/20 |
180,106 |
|||||||||
129,000 |
3.38%, due 01/18/21 |
168,418 |
|||||||||
State of Baden-Wurttemberg |
|||||||||||
67,000 |
1.00%, due 07/18/22 |
79,048 |
|||||||||
76,000 |
2.00%, due 11/13/23 |
95,994 |
|||||||||
State of Berlin |
|||||||||||
67,000 |
0.75%, due 11/11/22 |
77,846 |
|||||||||
67,000 |
1.63%, due 06/03/24 |
82,564 |
|||||||||
State of Brandenburg |
|||||||||||
42,000 |
1.50%, due 02/12/20 |
49,680 |
|||||||||
48,000 |
3.50%, due 06/15/21 |
63,068 |
|||||||||
State of Hesse |
|||||||||||
66,000 |
1.75%, due 01/20/23 |
81,526 |
|||||||||
65,000 |
1.38%, due 06/10/24 |
78,761 |
|||||||||
State of Lower Saxony |
|||||||||||
15,000 |
0.08%, due 07/20/18 |
16,815 |
|||||||||
71,000 |
2.13%, due 01/16/24 |
90,317 |
|||||||||
State of North Rhine-Westphalia |
|||||||||||
68,000 |
0.88%, due 12/04/17 |
77,022 |
|||||||||
81,000 |
1.88%, due 09/15/22 |
100,430 |
|||||||||
State of Rhineland-Palatinate |
|||||||||||
60,000 |
4.25%, due 03/02/18 |
72,089 |
|||||||||
62,000 |
1.25%, due 01/16/20 |
72,634 |
|||||||||
State of Saxony-Anhalt |
|||||||||||
43,000 |
1.63%, due 04/25/23 |
52,751 |
|||||||||
46,000 |
1.88%, due 04/10/24 |
57,659 |
|||||||||
3,238,563 |
|||||||||||
Total Sovereign Government
& Agency Obligations (Cost $3,529,860) |
3,238,563 |
Principal Amount |
Value |
||||||||||
Corporate Bonds � 8.9% |
|||||||||||
Banks � 8.9% |
|||||||||||
Landeskreditbank
Baden- Wuerttemberg Foerderbank |
|||||||||||
EUR |
68,000 |
0.13%, due 11/05/20 |
$ |
76,738 |
|||||||
45,000 |
0.05%, due 11/09/21 |
50,479 |
|||||||||
Landwirtschaftliche Rentenbank |
|||||||||||
58,000 |
1.25%, due 05/20/22 |
69,925 |
|||||||||
56,000 |
0.25%, due 11/24/22 |
63,499 |
|||||||||
NRW Bank |
|||||||||||
54,000 |
3.88%, due 01/27/20 |
69,129 |
|||||||||
329,770 |
|||||||||||
Total Corporate Bonds (Cost $341,237) |
329,770 |
||||||||||
Repurchase Agreements (a) � 0.2% |
|||||||||||
$ |
9,111 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $9,111 |
9,111 |
||||||||
Total Repurchase Agreements
(Cost $9,111) |
9,111 |
||||||||||
Total Investment Securities (Cost $3,880,208) � 96.6% |
3,577,444 |
||||||||||
Other assets less liabilities � 3.4% |
126,051 |
||||||||||
Net Assets � 100.0% |
$ |
3,703,495 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
EUR Euro
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
30,527 |
|||||
Aggregate gross unrealized depreciation |
(334,868 |
) |
|||||
Net unrealized depreciation |
$ |
(304,341 |
) |
||||
Federal income tax cost of investments |
$ |
3,881,785 |
See accompanying notes to the financial statements.
48 :: GGOV GERMAN SOVEREIGN/SUB-SOVEREIGN ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations � 66.4% |
|||||||||||
Brazil � 4.5% |
|||||||||||
Banco Nacional de
Desenvolvimento Economico e Social |
|||||||||||
$ |
100,000 |
6.37%, due 06/16/18 |
$ |
103,200 |
|||||||
Brazilian Government
International Bond |
|||||||||||
60,000 |
8.88%, due 10/14/19 |
70,950 |
|||||||||
174,150 |
|||||||||||
Colombia � 3.3% |
|||||||||||
Colombia Government
International Bond |
|||||||||||
98,000 |
11.75%, due 02/25/20 |
127,547 |
|||||||||
Croatia � 2.8% |
|||||||||||
Croatia Government International Bond |
|||||||||||
100,000 |
6.63%, due 07/14/20 |
108,900 |
|||||||||
Hungary � 3.1% |
|||||||||||
Hungary Government
International Bond |
|||||||||||
114,000 |
4.13%, due 02/19/18 |
118,024 |
|||||||||
Indonesia � 4.6% |
|||||||||||
Indonesia Government International Bond |
|||||||||||
162,000 |
6.88%, due 01/17/18 |
174,847 |
|||||||||
Lithuania � 2.7% |
|||||||||||
Lithuania Government
International Bond |
|||||||||||
100,000 |
5.13%, due 09/14/17 |
105,000 |
|||||||||
Mexico � 4.5% |
|||||||||||
Mexico Government International Bond |
|||||||||||
30,000 |
5.63%, due 01/15/17 |
30,780 |
|||||||||
30,000 |
5.95%, due 03/19/19 |
33,150 |
|||||||||
100,000 |
5.13%, due 01/15/20 |
109,700 |
|||||||||
173,630 |
|||||||||||
Poland � 2.1% |
|||||||||||
Poland Government International Bond |
|||||||||||
70,000 |
6.38%, due 07/15/19 |
79,363 |
|||||||||
Qatar � 5.2% |
|||||||||||
SoQ Sukuk A Q.S.C |
|||||||||||
201,000 |
2.10%, due 01/18/18 |
201,503 |
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations (continued) |
|||||||||||
Russia � 2.7% |
|||||||||||
Russian Foreign Bond - Eurobond |
|||||||||||
$ |
100,000 |
5.00%, due 04/29/20 |
$ |
105,492 |
|||||||
South Africa � 2.9% |
|||||||||||
South Africa Government International Bond |
|||||||||||
100,000 |
6.88%, due 05/27/19 |
109,875 |
|||||||||
South Korea � 7.4% |
|||||||||||
Export-Import Bank of Korea |
|||||||||||
100,000 |
5.13%, due 06/29/20 |
111,673 |
|||||||||
Korea International Bond |
|||||||||||
150,000 |
7.13%, due 04/16/19 |
173,295 |
|||||||||
284,968 |
|||||||||||
Sri Lanka � 2.6% |
|||||||||||
Sri Lanka Government
International Bond |
|||||||||||
100,000 |
6.25%, due 10/04/20 |
100,361 |
|||||||||
Turkey � 9.1% |
|||||||||||
Hazine Mustesarligi Varlik Kiralama AS |
|||||||||||
230,000 |
4.56%, due 10/10/18 |
237,781 |
|||||||||
Turkey Government International Bond |
|||||||||||
100,000 |
7.50%, due 11/07/19 |
113,023 |
|||||||||
350,804 |
|||||||||||
Ukraine � 7.7% |
|||||||||||
Ukraine Government International Bond |
|||||||||||
276,000 |
7.75%, due 09/01/20^(a)(c) |
263,290 |
|||||||||
108,000 |
0.00%, due 05/31/40^(a)(c) |
33,502 |
|||||||||
296,792 |
|||||||||||
Venezuela � 1.2% |
|||||||||||
Venezuela Government
International Bond |
|||||||||||
30,000 |
7.00%, due 12/01/18 |
13,613 |
|||||||||
50,000 |
7.75%, due 10/13/19 |
20,187 |
|||||||||
30,000 |
6.00%, due 12/09/20 |
10,912 |
|||||||||
44,712 |
|||||||||||
Total Sovereign Government & Agency Obligations (Cost $2,557,301) |
2,555,968 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT TERM USD EMERGING MARKETS BOND ETF EMSH :: 49
Principal Amount |
Value |
||||||||||
Corporate Bonds � 27.1% |
|||||||||||
Banks � 2.8% |
|||||||||||
Russian Agricultural Bank
OJSC Via RSHB Capital S.A. |
|||||||||||
$ |
100,000 |
7.75%, due 05/29/18 |
$ |
107,428 |
|||||||
Diversified Financial Services � 3.3% |
|||||||||||
Gazprom OAO Via Gaz Capital S.A. |
|||||||||||
125,000 |
6.21%, due 11/22/16 |
127,412 |
|||||||||
Electric Utilities � 3.0% |
|||||||||||
Majapahit Holding B.V. |
|||||||||||
100,000 |
8.00%, due 08/07/19 |
114,050 |
|||||||||
Electrical Equipment � 2.6% |
|||||||||||
Power Sector Assets & Liabilities
Management Corp. |
|||||||||||
100,000 |
6.88%, due 11/02/16 |
102,250 |
|||||||||
Oil, Gas & Consumable Fuels � 15.4% |
|||||||||||
KazMunayGas National Co. JSC |
|||||||||||
155,000 |
7.00%, due 05/05/20 |
166,625 |
|||||||||
Petrobras Global Finance B.V. |
|||||||||||
34,000 |
5.88%, due 03/01/18 |
34,340 |
|||||||||
90,000 |
7.88%, due 03/15/19 |
91,237 |
|||||||||
80,000 |
4.88%, due 03/17/20 |
72,256 |
|||||||||
Petroleos de Venezuela S.A. |
|||||||||||
20,000 |
5.13%, due 10/28/16 |
17,400 |
|||||||||
50,000 |
5.25%, due 04/12/17 |
30,365 |
|||||||||
Petroleos Mexicanos |
|||||||||||
100,000 |
5.75%, due 03/01/18 |
104,150 |
|||||||||
36,000 |
6.00%, due 03/05/20 |
38,210 |
|||||||||
40,000 |
3.50%, due 07/23/20 |
39,150 |
|||||||||
593,733 |
|||||||||||
Total Corporate
Bonds (Cost $1,033,268) |
1,044,873 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (b) � 1.5% |
|||||||||||
$ |
55,912 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $55,912 |
$ |
55,912 |
|||||||
Total Repurchase Agreements
(Cost $55,912) |
55,912 |
||||||||||
Total Investment Securities (Cost $3,646,481) � 95.0% |
3,656,753 |
||||||||||
Other assets less liabilities � 5.0% |
190,680 |
||||||||||
Net Assets � 100.0% |
$ |
3,847,433 |
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At May 31, 2016, the value of these securities amounted to $296,792 or 7.71% of net assets.
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(c) Floating Rate Security. Rate disclosed is as of May 31, 2016.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
47,478 |
|||||
Aggregate gross unrealized depreciation |
(37,206 |
) |
|||||
Net unrealized appreciation |
$ |
10,272 |
|||||
Federal income tax cost of investments |
$ |
3,646,481 |
See accompanying notes to the financial statements.
50 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Short Term USD Emerging Markets Bond ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
Brazil |
9.7 |
% |
|||||
Mexico |
9.2 |
% |
|||||
Turkey |
9.1 |
% |
|||||
Russia |
8.8 |
% |
|||||
Ukraine |
7.7 |
% |
|||||
Indonesia |
7.5 |
% |
|||||
South Korea |
7.4 |
% |
|||||
Qatar |
5.2 |
% |
|||||
Kazakhstan |
4.3 |
% |
|||||
Colombia |
3.3 |
% |
|||||
Hungary |
3.1 |
% |
|||||
South Africa |
2.9 |
% |
|||||
Croatia |
2.8 |
% |
|||||
Lithuania |
2.7 |
% |
|||||
Philippines |
2.7 |
% |
|||||
Sri Lanka |
2.6 |
% |
|||||
Venezuela |
2.4 |
% |
|||||
Poland |
2.1 |
% |
|||||
Other1 |
6.5 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT TERM USD EMERGING MARKETS BOND ETF EMSH :: 51
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks � 10.4% |
|||||||||||||||
21 |
Alphabet, Inc., Class A* (Information Technology) |
0.1 |
% |
$ |
15,726 |
||||||||||
21 |
Alphabet, Inc., Class C*
(Information Technology) |
0.1 |
% |
15,450 |
|||||||||||
138 |
Altria Group, Inc. (Consumer Staples) |
0.0 |
% |
8,782 |
|||||||||||
27 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.1 |
% |
19,515 |
|||||||||||
53 |
Amgen, Inc. (Health Care) |
0.0 |
% |
8,371 |
|||||||||||
391 |
Apple, Inc.
(Information Technology) |
0.1 |
% |
39,044 |
|||||||||||
434 |
AT&T, Inc. (Telecommunication Services) |
0.1 |
% |
16,991 |
|||||||||||
728 |
Bank of America Corp.
(Financials) |
0.0 |
% |
10,767 |
|||||||||||
132 |
Berkshire Hathaway, Inc., Class B* (Financials) |
0.1 |
% |
18,551 |
|||||||||||
118 |
Bristol-Myers Squibb Co.
(Health Care) |
0.0 |
% |
8,461 |
|||||||||||
133 |
Chevron Corp. (Energy) |
0.1 |
% |
13,433 |
|||||||||||
355 |
Cisco Systems, Inc.
(Information Technology) |
0.0 |
% |
10,313 |
|||||||||||
208 |
Citigroup, Inc. (Financials) |
0.0 |
% |
9,687 |
|||||||||||
275 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.0 |
% |
12,265 |
|||||||||||
172 |
Comcast Corp., Class A (Consumer Discretionary) |
0.0 |
% |
10,888 |
|||||||||||
266 |
CubeSmart (REIT)
(Financials) |
0.0 |
% |
8,469 |
|||||||||||
77 |
CVS Health Corp. (Consumer Staples) |
0.0 |
% |
7,427 |
|||||||||||
293 |
Exxon Mobil Corp. (Energy) |
0.1 |
% |
26,083 |
|||||||||||
162 |
Facebook, Inc., Class A* (Information Technology) |
0.1 |
% |
19,247 |
|||||||||||
658 |
General Electric Co.
(Industrials) |
0.1 |
% |
19,891 |
|||||||||||
96 |
Gilead Sciences, Inc. (Health Care) |
0.0 |
% |
8,358 |
|||||||||||
89 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.0 |
% |
11,759 |
|||||||||||
333 |
Intel Corp. (Information Technology) |
0.0 |
% |
10,519 |
|||||||||||
62 |
International Business
Machines Corp. (Information Technology) |
0.0 |
% |
9,532 |
|||||||||||
195 |
Johnson & Johnson (Health Care) |
0.1 |
% |
21,975 |
|||||||||||
259 |
JPMorgan Chase & Co.
(Financials) |
0.1 |
% |
16,905 |
|||||||||||
112 |
Manhattan Associates, Inc.* (Information Technology) |
0.0 |
% |
7,384 |
|||||||||||
56 |
MarketAxess Holdings, Inc.
(Financials) |
0.0 |
% |
7,837 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
64 |
McDonald's Corp. (Consumer Discretionary) |
0.0 |
% |
$ |
7,812 |
||||||||||
99 |
Medtronic PLC
(Health Care) |
0.0 |
% |
7,968 |
|||||||||||
196 |
Merck & Co., Inc. (Health Care) |
0.0 |
% |
11,027 |
|||||||||||
558 |
Microsoft Corp.
(Information Technology) |
0.1 |
% |
29,574 |
|||||||||||
222 |
Oracle Corp. (Information Technology) |
0.0 |
% |
8,924 |
|||||||||||
102 |
PepsiCo, Inc.
(Consumer Staples) |
0.0 |
% |
10,319 |
|||||||||||
427 |
Pfizer, Inc. (Health Care) |
0.1 |
% |
14,817 |
|||||||||||
109 |
Philip Morris
International, Inc. (Consumer Staples) |
0.0 |
% |
10,756 |
|||||||||||
187 |
Procter & Gamble Co. (The) (Consumer Staples) |
0.1 |
% |
15,154 |
|||||||||||
98 |
Schlumberger Ltd. (Energy) |
0.0 |
% |
7,477 |
|||||||||||
69 |
Sovran Self Storage, Inc. (REIT) (Financials) |
0.0 |
% |
7,471 |
|||||||||||
129 |
STERIS PLC (Health Care) |
0.0 |
% |
8,956 |
|||||||||||
85 |
TreeHouse Foods, Inc.* (Consumer Staples) |
0.0 |
% |
8,050 |
|||||||||||
51 |
Tyler Technologies, Inc.*
(Information Technology) |
0.0 |
% |
7,818 |
|||||||||||
67 |
UnitedHealth Group, Inc. (Health Care) |
0.0 |
% |
8,956 |
|||||||||||
287 |
Verizon Communications,
Inc. (Telecommunication Services) |
0.1 |
% |
14,608 |
|||||||||||
135 |
Visa, Inc., Class A (Information Technology) |
0.0 |
% |
10,657 |
|||||||||||
111 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.0 |
% |
7,857 |
|||||||||||
106 |
Walt Disney Co. (The) (Consumer Discretionary) |
0.0 |
% |
10,517 |
|||||||||||
326 |
Wells Fargo & Co.
(Financials) |
0.1 |
% |
16,535 |
|||||||||||
109 |
West Pharmaceutical Services, Inc. (Health Care) |
0.0 |
% |
8,184 |
|||||||||||
136,573 |
Other Common Stocks^ |
8.7 |
% |
3,201,864 |
|||||||||||
Total Common Stocks (Cost $3,814,499) |
3,828,931 |
||||||||||||||
No. of Rights |
|||||||||||||||
Rights � 0.0% � |
|||||||||||||||
288 |
Dyax Corp. (CVR)*^(b) |
0.0 |
% |
319 |
|||||||||||
18 |
Second Sight Medical
Products, Inc.*^(b) |
0.0 |
% |
2 |
|||||||||||
Total Rights (Cost $�) |
321 |
See accompanying notes to the financial statements.
52 :: HDG HEDGE REPLICATION ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security � 69.7% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
25,646,000 |
0.00%, due 08/04/16 |
$ |
25,634,406 |
|||||||
Total U.S. Government & Agency
Security (Cost $ 25,636,881) |
25,634,406 |
||||||||||
Repurchase Agreement (a) � 14.2% |
|||||||||||
5,217,691 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 5/31/2016, due 6/1/2016, total to be received $5,217,732 |
5,217,691 |
|||||||||
Total Repurchase Agreements
(Cost $5,217,691) |
5,217,691 |
||||||||||
Total Investment Securities (Cost $34,669,071) � 94.3% |
34,681,349 |
||||||||||
Other assets less liabilities � 5.7% |
2,077,188 |
||||||||||
Net Assets � 100.0% |
$ |
36,758,537 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At May 31, 2016, the value of these securities amounted to $365 or 0.00% of net assets.
� Amount represents less than 0.05%.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(b) Security has been deemed illiquid at May 31, 2016.
CVR Contingent Value Rights
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
200,987 |
|||||
Aggregate gross unrealized depreciation |
(250,629 |
) |
|||||
Net unrealized appreciation |
$ |
(49,642 |
) |
||||
Federal income tax cost of investments |
$ |
34,730,991 |
Futures Contracts Sold
Hedge Replication ETF had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
Euro FX Currency Futures Contracts |
45 |
06/13/16 |
$ |
3,130,313 |
$ |
40,936 |
Cash collateral in the amount of $82,913 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HEDGE REPLICATION ETF HDG :: 53
Swap Agreements1
Hedge Replication ETF had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
5,126 |
11/06/17 |
Credit Suisse
International |
0.89 |
% |
S&P
500� Total Return Index |
$ |
(4,578 |
) |
||||||||||||||||||||||||||
194,281 |
01/08/18 |
Credit Suisse International |
0.19 |
% |
Russell 2000� Total Return Index |
32,025 |
|||||||||||||||||||||||||||||
1,757,125 |
11/06/17 |
Credit Suisse
International |
0.19 |
% |
iShares� MSCI
Emerging Markets ETF |
18,346 |
|||||||||||||||||||||||||||||
3,977,833 |
01/08/18 |
Credit Suisse International |
0.14 |
% |
iShares� MSCI EAFE ETF |
71,705 |
|||||||||||||||||||||||||||||
5,934,365 |
117,498 |
$ |
� |
$ |
� |
$ |
117,498 |
||||||||||||||||||||||||||||
63,270 |
11/06/17 |
Deutsche Bank AG |
(0.14 |
)% |
iShares� MSCI Emerging Markets ETF |
(3,036 |
) |
||||||||||||||||||||||||||||
218,491 |
01/08/18 |
Deutsche Bank AG |
0.61 |
% |
iShares� MSCI
EAFE ETF |
5,482 |
|||||||||||||||||||||||||||||
264,268 |
01/08/18 |
Deutsche Bank AG |
0.21 |
% |
Russell 2000� Total Return Index |
43,553 |
|||||||||||||||||||||||||||||
546,029 |
45,999 |
� |
(45,999 |
) |
� |
||||||||||||||||||||||||||||||
2,963 |
11/06/17 |
Morgan Stanley & Co. International PLC |
0.64 |
% |
S&P 500� Total Return Index |
(553 |
) |
||||||||||||||||||||||||||||
iShares� MSCI |
|||||||||||||||||||||||||||||||||||
12,103 |
01/08/18 |
Morgan Stanley & Co. International PLC |
0.19 |
% |
Emerging Markets ETF |
854 |
|||||||||||||||||||||||||||||
15,066 |
301 |
� |
� |
301 |
|||||||||||||||||||||||||||||||
1,638 |
11/06/17 |
Societe Generale |
0.44 |
% |
Russell 2000� Total Return Index |
24 |
|||||||||||||||||||||||||||||
14,130 |
01/08/18 |
Societe Generale |
0.84 |
% |
iShares� MSCI
EAFE ETF |
342 |
|||||||||||||||||||||||||||||
iShares� MSCI |
|||||||||||||||||||||||||||||||||||
327,588 |
03/06/17 |
Societe Generale |
0.09 |
% |
Emerging Markets ETF |
232,429 |
|||||||||||||||||||||||||||||
343,356 |
232,795 |
� |
(232,795 |
) |
� |
||||||||||||||||||||||||||||||
3,095 |
11/06/17 |
UBS AG |
0.29 |
% |
Russell 2000�
Total Return Index |
49 |
|||||||||||||||||||||||||||||
iShares� MSCI |
|||||||||||||||||||||||||||||||||||
Emerging |
|||||||||||||||||||||||||||||||||||
11,501 |
01/08/18 |
UBS AG |
0.24 |
% |
Markets ETF |
804 |
|||||||||||||||||||||||||||||
747,159 |
01/08/18 |
UBS AG |
0.14 |
% |
iShares� MSCI
EAFE ETF |
696,104 |
|||||||||||||||||||||||||||||
761,755 |
696,957 |
(657,763 |
) |
� |
39,194 |
||||||||||||||||||||||||||||||
$ |
7,600,571 |
$ |
1,093,550 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
54 :: HDG HEDGE REPLICATION ETF :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Hedge Replication ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
1.3 |
% |
|||||
Consumer Staples |
0.6 |
% |
|||||
Energy |
0.4 |
% |
|||||
Financials |
2.4 |
% |
|||||
Health Care |
1.5 |
% |
|||||
Industrials |
1.3 |
% |
|||||
Information Technology |
1.9 |
% |
|||||
Materials |
0.4 |
% |
|||||
Telecommunication Services |
0.2 |
% |
|||||
Utilities |
0.4 |
% |
|||||
Other1 |
89.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: HEDGE REPLICATION ETF HDG :: 55
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 83.7% |
|||||||||||
$ |
4,991,022 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $4,991,058 |
$ |
4,991,022 |
|||||||
Total Repurchase
Agreements (Cost $4,991,022) |
4,991,022 |
||||||||||
Total Investment Securities (Cost $4,991,022) � � 83.7% |
4,991,022 |
||||||||||
Other assets less liabilities � 16.3% |
974,745 |
||||||||||
Net Assets � 100.0% |
$ |
5,965,767 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Managed Futures Strategy ETF had the following open long and short futures contracts as of May 31, 2016:
Futures Contracts Purchased
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
Australian Dollar Futures Contracts |
3 |
06/13/16 |
$ |
216,390 |
$ |
(6,057 |
) |
||||||||||||
British Pound Futures Contracts |
3 |
06/13/16 |
271,256 |
6 |
|||||||||||||||
Canadian Dollar Futures Contracts |
4 |
06/14/16 |
304,600 |
4,971 |
|||||||||||||||
Cocoa Futures Contracts |
6 |
07/14/16 |
183,540 |
(4,566 |
) |
||||||||||||||
Copper Futures Contracts |
3 |
07/27/16 |
157,163 |
(2,769 |
) |
||||||||||||||
Corn Futures Contracts |
9 |
09/14/16 |
183,038 |
11,151 |
|||||||||||||||
Cotton No. 2 Futures Contracts |
8 |
07/07/16 |
255,760 |
7,978 |
|||||||||||||||
E-Mini Crude Oil Futures Contract |
1 |
08/19/16 |
24,965 |
1,951 |
|||||||||||||||
E-Mini Euro Futures Contracts |
4 |
06/13/16 |
278,250 |
(6,984 |
) |
||||||||||||||
Gasoline RBOB Futures Contract |
1 |
08/31/16 |
67,078 |
5,252 |
|||||||||||||||
Gold 100 OZ Futures Contract |
1 |
08/29/16 |
121,750 |
(5,832 |
) |
||||||||||||||
Japanese Yen Futures Contracts |
4 |
06/13/16 |
452,225 |
10,134 |
|||||||||||||||
Lean Hogs Futures Contracts |
5 |
08/12/16 |
161,700 |
1,676 |
|||||||||||||||
Mini Gold Futures Contracts |
2 |
08/29/16 |
78,285 |
(5,105 |
) |
||||||||||||||
Mini Silver Futures Contract |
1 |
07/27/16 |
15,994 |
892 |
|||||||||||||||
NY Harbor ULSD Futures Contract |
1 |
06/30/16 |
62,878 |
6,655 |
|||||||||||||||
Silver Futures Contract |
1 |
07/27/16 |
79,970 |
4,043 |
|||||||||||||||
Soybean Futures Contracts |
4 |
07/14/16 |
215,700 |
32,564 |
|||||||||||||||
Sugar #11 (World Markets) Futures Contracts |
8 |
06/30/16 |
156,710 |
23,285 |
|||||||||||||||
Swiss Franc Futures Contracts |
2 |
06/13/16 |
251,550 |
(717 |
) |
||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
5 |
09/21/16 |
648,438 |
(2,819 |
) |
||||||||||||||
U.S. Long Bond Futures Contracts |
7 |
09/21/16 |
1,143,188 |
4,147 |
|||||||||||||||
Wheat Futures Contracts |
6 |
09/14/16 |
142,650 |
(1,566 |
) |
||||||||||||||
WTI Crude Oil Futures Contract |
1 |
08/22/16 |
49,930 |
4,598 |
|||||||||||||||
$ |
82,888 |
Futures Contracts Sold
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
Coffee 'C' Futures Contracts |
3 |
07/19/16 |
$ |
136,744 |
$ |
367 |
|||||||||||||
Live Cattle Futures Contracts |
6 |
10/31/16 |
281,580 |
(5,356 |
) |
||||||||||||||
Natural Gas Futures Contracts |
5 |
06/28/16 |
114,400 |
(1,922 |
) |
||||||||||||||
$ |
(6,911 |
) |
|||||||||||||||||
$ |
75,977 |
Cash collateral in the amount of $201,392 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
56 :: FUT MANAGED FUTURES STRATEGY ETF :: MAY 31, 2016 :: CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks � 100.1% |
|||||||||||
Consumer Discretionary � 7.1% |
|||||||||||
8,500 |
Krispy Kreme Doughnuts, Inc.* |
$ |
181,730 |
||||||||
205,000 |
Pacific Brands Ltd. |
168,906 |
|||||||||
2,346 |
Starwood Hotels &
Resorts Worldwide, Inc. |
172,267 |
|||||||||
522,903 |
|||||||||||
Energy � 7.7% |
|||||||||||
7,154 |
Columbia Pipeline Group, Inc. |
182,713 |
|||||||||
4,210 |
InterOil Corp.* |
178,504 |
|||||||||
12,850 |
Memorial Resource Development Corp.* |
203,030 |
|||||||||
564,247 |
|||||||||||
Financials � 12.9% |
|||||||||||
16,899 |
First Niagara Financial Group, Inc. |
184,537 |
|||||||||
9,661 |
FirstMerit Corp. |
219,111 |
|||||||||
11,287 |
Hatteras Financial Corp. (REIT) |
181,608 |
|||||||||
10,500 |
Parkway Properties, Inc./Md (REIT) |
183,225 |
|||||||||
9,735 |
Rouse Properties, Inc. (REIT) |
177,664 |
|||||||||
946,145 |
|||||||||||
Health Care � 9.7% |
|||||||||||
1,770 |
Anacor Pharmaceuticals, Inc.* |
175,761 |
|||||||||
4,950 |
ExamWorks Group, Inc.* |
172,805 |
|||||||||
10,311 |
Meda AB, Class A |
182,947 |
|||||||||
2,310 |
St. Jude Medical, Inc. |
181,012 |
|||||||||
712,525 |
|||||||||||
Industrials � 14.6% |
|||||||||||
27,380 |
Asciano Ltd. |
175,923 |
|||||||||
21,371 |
Fomento de Construcciones y
Contratas S.A.* |
180,003 |
|||||||||
3,279 |
Gategroup Holding AG* |
168,238 |
|||||||||
200,301 |
Neptune Orient Lines Ltd.* |
188,360 |
|||||||||
8,954 |
USG People N.V.* |
174,048 |
|||||||||
3,245 |
Virgin America, Inc.* |
181,655 |
|||||||||
1,068,227 |
|||||||||||
Information Technology � 27.7% |
|||||||||||
5,100 |
Cvent, Inc.* |
182,632 |
|||||||||
8,999 |
Fairchild Semiconductor
International, Inc.* |
178,810 |
|||||||||
12,850 |
inContact, Inc.* |
178,358 |
|||||||||
8,930 |
Integrated Device Technology, Inc.* |
208,516 |
|||||||||
2,699 |
KLA-Tencor Corp. |
196,838 |
|||||||||
4,740 |
Lexmark International, Inc., Class A |
179,456 |
|||||||||
15,200 |
Polycom, Inc.* |
182,400 |
|||||||||
5,724 |
Rofin-Sinar Technologies, Inc.* |
182,882 |
|||||||||
6,950 |
Textura Corp.* |
180,700 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
18,600 |
TiVo, Inc.* |
$ |
185,070 |
||||||||
7,220 |
Xura, Inc.* |
179,200 |
|||||||||
2,034,862 |
|||||||||||
Materials � 10.3% |
|||||||||||
16,194 |
Italcementi SpA* |
188,831 |
|||||||||
1,680 |
Monsanto Co. |
188,950 |
|||||||||
53,244 |
Nuplex Industries Ltd. |
192,733 |
|||||||||
1,738 |
Valspar Corp. (The) |
188,260 |
|||||||||
758,774 |
|||||||||||
Telecommunication Services � 2.4% |
|||||||||||
6,120 |
Manitoba Telecom Services, Inc. |
176,411 |
|||||||||
Utilities � 7.7% |
|||||||||||
2,869 |
AGL Resources, Inc. |
188,780 |
|||||||||
4,398 |
ITC Holdings Corp. |
195,799 |
|||||||||
3,023 |
Piedmont Natural Gas Co., Inc. |
181,562 |
|||||||||
566,141 |
|||||||||||
Total Common Stocks (Cost $7,132,537) |
7,350,235 |
||||||||||
No. of Rights |
|||||||||||
Rights � 0.1% |
|||||||||||
4,897 |
Dyax Corp. (CVR)*^(b) |
5,435 |
|||||||||
5,435 |
|||||||||||
Total Rights (Cost $�) |
5,435 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) � 2.0% |
|||||||||||
$ |
148,182 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $148,182 |
148,182 |
Total Repurchase Agreements
(Cost $148,182) |
148,182 |
||||||
Total Investment Securities (Cost $7,280,719) � 102.2% |
7,503,852 |
||||||
Liabilities in excess of
other assets � (2.2%) |
(160,721 |
) |
|||||
Net Assets � 100.0% |
$ |
7,343,131 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At May 31, 2016, the value of these securities amounted to $5,435 or 0.07% of net assets.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: MERGER ETF MRGR :: 57
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(b) Security has been deemed illiquid at May 31, 2016.
CVR Contingent Value Rights
REIT Real Estate Investment Trust
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
263,963 |
|||||
Aggregate gross unrealized depreciation |
(40,936 |
) |
|||||
Net unrealized appreciation |
$ |
223,027 |
|||||
Federal income tax cost of investments |
$ |
7,280,825 |
Forward Currency Contracts
Merger ETF had the following open forward currency contracts as of May 31, 2016:
Currency |
Counterparty |
Delivery Date |
Foreign Currency to Receive (Pay) |
U.S. Dollars to
Receive (Pay) |
Market Value |
Net Unrealized Appreciation/ (Depreciation)1 |
|||||||||||||||||||||
U.S. Dollar vs. Australian Dollar |
Goldman Sachs International |
08/12/16 |
102,600 |
$ |
(73,589 |
) |
$ |
73,963 |
$ |
374 |
|||||||||||||||||
U.S. Dollar vs. Canadian Dollar |
Goldman Sachs International |
08/12/16 |
308,000 |
(234,322 |
) |
234,884 |
562 |
||||||||||||||||||||
U.S. Dollar vs. Swiss Franc |
Goldman Sachs International |
08/12/16 |
226,000 |
(233,793 |
) |
228,133 |
(5,660 |
) |
|||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs International |
08/12/16 |
1,825,000 |
(219,059 |
) |
218,114 |
(945 |
) |
|||||||||||||||||||
U.S. Dollar vs. Australian Dollar |
Goldman Sachs International |
08/12/16 |
(495,000 |
) |
362,828 |
356,841 |
5,987 |
||||||||||||||||||||
U.S. Dollar vs. Canadian Dollar |
Goldman Sachs International |
08/12/16 |
(113,000 |
) |
87,320 |
86,175 |
1,145 |
||||||||||||||||||||
U.S. Dollar vs. Swiss Franc |
Goldman Sachs International |
08/12/16 |
(439,000 |
) |
454,292 |
443,143 |
11,149 |
||||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs International |
08/12/16 |
(599,000 |
) |
686,041 |
668,133 |
17,908 |
||||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs International |
08/12/16 |
(1,825,000 |
) |
222,753 |
218,115 |
4,638 |
||||||||||||||||||||
U.S. Dollar vs. New Zealand Dollar |
Goldman Sachs International |
08/12/16 |
(345,000 |
) |
234,471 |
232,575 |
1,896 |
||||||||||||||||||||
U.S. Dollar vs. Swedish Krona |
Goldman Sachs International |
08/12/16 |
(1,891,000 |
) |
233,484 |
227,363 |
6,121 |
||||||||||||||||||||
U.S. Dollar vs. Singapore Dollar |
Goldman Sachs International |
08/12/16 |
(316,000 |
) |
232,042 |
229,184 |
2,858 |
||||||||||||||||||||
$ |
46,0332 |
1 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on forward currency contracts) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on forward currency contracts) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
2 The Net Amount of the Fund's uncollateralized exposure to the counterparty under these contracts is equal to the net unrealized appreciation of $46,033. Neither the Fund nor the counterparty has posted Financial Instruments or cash as collateral pursuant to these contracts.
Swap Agreements1
Merger ETF had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,099,308 |
) |
11/06/17 |
Societe Generale |
0.26 |
% |
S&P Merger Arbitrage
Index (short exposure to Acquirers) |
$ |
(228,756 |
) |
|||||||||||||||||||||||||
1,672,259 |
11/07/16 |
Societe Generale |
0.89 |
% |
S&P Merger Arbitrage Index (long exposure to Targets) |
9,551 |
|||||||||||||||||||||||||||||
$ |
(427,049 |
) |
$ |
(219,205 |
) |
$ |
� |
$ |
49,434 |
$ |
(169,771 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
58 :: MRGR MERGER ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Merger ETF invested, as a percentage of net assets, in the following countries as of May 31, 2016:
United States |
73.3 |
% |
|||||
Canada |
4.8 |
% |
|||||
Australia |
4.7 |
% |
|||||
New Zealand |
2.6 |
% |
|||||
Italy |
2.6 |
% |
|||||
Singapore |
2.6 |
% |
|||||
Sweden |
2.5 |
% |
|||||
Spain |
2.4 |
% |
|||||
Netherlands |
2.4 |
% |
|||||
Switzerland |
2.3 |
% |
|||||
Other1 |
(0.2 |
%) |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: MERGER ETF MRGR :: 59
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) � 96.0% |
|||||||||||||||
2,423 |
Altria Group, Inc. (Consumer Staples) |
0.4 |
% |
$ |
154,200 |
||||||||||
5,063 |
American International
Group, Inc. (Financials) |
0.7 |
% |
293,046 |
|||||||||||
6,046 |
Apple, Inc. (Information Technology) |
1.5 |
% |
603,754 |
|||||||||||
17,449 |
AT&T, Inc.
(Telecommunication Services) |
1.7 |
% |
683,128 |
|||||||||||
36,030 |
Bank of America Corp. (Financials) |
1.3 |
% |
532,884 |
|||||||||||
1 |
Berkshire Hathaway, Inc.,
Class A* (Financials) |
0.5 |
% |
211,695 |
|||||||||||
2,586 |
Berkshire Hathaway, Inc., Class B* (Financials) |
0.9 |
% |
363,436 |
|||||||||||
2,107 |
Caterpillar, Inc. (Industrials) |
0.4 |
% |
152,779 |
|||||||||||
8,278 |
Chevron Corp. (Energy) |
2.0 |
% |
836,078 |
|||||||||||
7,812 |
Cisco Systems, Inc.
(Information Technology) |
0.6 |
% |
226,939 |
|||||||||||
11,352 |
Citigroup, Inc. (Financials) |
1.3 |
% |
528,663 |
|||||||||||
5,505 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.6 |
% |
245,523 |
|||||||||||
4,200 |
Comcast Corp., Class A (Consumer Discretionary) |
0.6 |
% |
265,860 |
|||||||||||
8,192 |
ConocoPhillips (Energy) |
0.9 |
% |
358,728 |
|||||||||||
2,064 |
CVS Health Corp. (Consumer Staples) |
0.5 |
% |
199,073 |
|||||||||||
12,973 |
Exxon Mobil Corp. (Energy) |
2.8 |
% |
1,154,856 |
|||||||||||
17,315 |
Ford Motor Co. (Consumer Discretionary) |
0.6 |
% |
233,579 |
|||||||||||
14,383 |
Freeport-McMoRan, Inc.
(Materials) |
0.4 |
% |
159,364 |
|||||||||||
19,670 |
General Electric Co. (Industrials) |
1.4 |
% |
594,624 |
|||||||||||
5,901 |
General Motors Co.
(Consumer Discretionary) |
0.4 |
% |
184,583 |
|||||||||||
1,272 |
Goldman Sachs Group, Inc. (The) (Financials) |
0.5 |
% |
202,859 |
|||||||||||
9,045 |
Hewlett Packard
Enterprise Co. (Information Technology) |
0.4 |
% |
167,061 |
|||||||||||
1,366 |
Home Depot, Inc. (The) (Consumer Discretionary) |
0.4 |
% |
180,476 |
|||||||||||
11,123 |
Intel Corp. (Information
Technology) |
0.9 |
% |
351,376 |
|||||||||||
2,304 |
International Business Machines Corp. (Information Technology) |
0.9 |
% |
354,217 |
|||||||||||
4,011 |
Johnson & Johnson
(Health Care) |
1.1 |
% |
452,000 |
|||||||||||
10,768 |
JPMorgan Chase & Co. (Financials) |
1.7 |
% |
702,827 |
|||||||||||
1,369 |
McDonald's Corp.
(Consumer Discretionary) |
0.4 |
% |
167,100 |
|||||||||||
840 |
McKesson Corp. (Health Care) |
0.4 |
% |
153,838 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
5,786 |
Merck & Co., Inc. (Health Care) |
0.8 |
% |
$ |
325,520 |
||||||||||
4,027 |
MetLife, Inc. (Financials) |
0.4 |
% |
183,430 |
|||||||||||
8,309 |
Microsoft Corp. (Information Technology) |
1.1 |
% |
440,377 |
|||||||||||
2,131 |
Occidental Petroleum Corp.
(Energy) |
0.4 |
% |
160,763 |
|||||||||||
4,345 |
Oracle Corp. (Information Technology) |
0.4 |
% |
174,669 |
|||||||||||
2,196 |
PepsiCo, Inc. (Consumer
Staples) |
0.5 |
% |
222,169 |
|||||||||||
13,655 |
Pfizer, Inc. (Health Care) |
1.2 |
% |
473,828 |
|||||||||||
2,564 |
Philip Morris
International, Inc. (Consumer Staples) |
0.6 |
% |
253,015 |
|||||||||||
2,140 |
Phillips 66 (Energy) |
0.4 |
% |
171,970 |
|||||||||||
4,772 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.9 |
% |
386,723 |
|||||||||||
1,944 |
Prudential Financial, Inc. (Financials) |
0.4 |
% |
154,062 |
|||||||||||
2,771 |
QUALCOMM, Inc.
(Information Technology) |
0.4 |
% |
152,183 |
|||||||||||
2,229 |
Schlumberger Ltd. (Energy) |
0.4 |
% |
170,073 |
|||||||||||
2,023 |
Time Warner, Inc.
(Consumer Discretionary) |
0.4 |
% |
153,060 |
|||||||||||
1,804 |
United Technologies Corp. (Industrials) |
0.4 |
% |
181,446 |
|||||||||||
1,617 |
UnitedHealth Group, Inc.
(Health Care) |
0.5 |
% |
216,144 |
|||||||||||
8,672 |
Verizon Communications, Inc. (Telecommunication Services) |
1.1 |
% |
441,405 |
|||||||||||
5,809 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
1.0 |
% |
411,161 |
|||||||||||
1,722 |
Walt Disney Co. (The) (Consumer Discretionary) |
0.4 |
% |
170,857 |
|||||||||||
11,291 |
Wells Fargo & Co.
(Financials) |
1.4 |
% |
572,680 |
|||||||||||
690,328 |
Other Common Stocks |
56.7 |
% |
23,296,783 |
|||||||||||
Total Common Stocks
(Cost $37,629,519) |
39,426,864 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) � 9.1% |
|||||||||||||||
$ |
3,722,557 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $3,722,586 |
3,722,557 |
||||||||||||
Total Repurchase Agreements (Cost $3,722,557) |
3,722,557 |
||||||||||||||
Total Investment Securities
(Cost $41,352,076) � 105.1% |
43,149,421 |
||||||||||||||
Liabilities in excess of other assets � (5.1)% |
(2,090,396 |
) |
|||||||||||||
Net Assets � 100.0% |
$ |
41,059,025 |
See accompanying notes to the financial statements.
60 :: RALS RAFI� LONG/SHORT :: MAY 31, 2016 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $6,666,024.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,728,876 |
|||||
Aggregate gross unrealized depreciation |
(894,682 |
) |
|||||
Net unrealized appreciation |
$ |
834,194 |
|||||
Federal income tax cost of investments |
$ |
42,315,227 |
Swap Agreements1
RAFI� Long/Short had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(40,706,592 |
) |
01/08/18 |
Deutsche Bank AG |
(0.36 |
)% |
Russell 1000
Total Return Index |
$ |
(2,822,449 |
) |
$ |
2,618,730 |
$ |
203,719 |
$ |
� |
|||||||||||||||||||
(1,278,438 |
) |
11/06/17 |
Societe Generale |
(0.14 |
)% |
Russell 1000 Total Return Index |
(110,180 |
) |
|||||||||||||||||||||||||||
2,599,991 |
11/06/17 |
Societe Generale |
0.64 |
% |
FTSE RAFI US
1000 Total Return Index |
453,037 |
|||||||||||||||||||||||||||||
1,321,553 |
342,857 |
� |
(300,000 |
) |
42,857 |
||||||||||||||||||||||||||||||
$ |
(39,385,039 |
) |
$ |
(2,479,592 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
RAFI� Long/Short invested, as a percentage of net assets, in the following industries, as of May 31, 2016:
Consumer Discretionary |
10.1 |
% |
|||||
Consumer Staples |
8.4 |
% |
|||||
Energy |
13.0 |
% |
|||||
Financials |
21.0 |
% |
|||||
Health Care |
9.7 |
% |
|||||
Industrials |
9.9 |
% |
|||||
Information Technology |
12.1 |
% |
|||||
Materials |
4.0 |
% |
|||||
Telecommunication Services |
3.2 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Other 1 |
4.0 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: RAFI� LONG/SHORT RALS :: 61
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation � 83.8% |
|||||||||||
U.S. Treasury Inflation Index Bonds |
|||||||||||
$ |
2,792,835 |
1.00%, due 02/15/46 |
$ |
2,877,349 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $2,857,717) |
2,877,349 |
||||||||||
Repurchase Agreements (a) � 12.7% |
|||||||||||
434,935 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $434,938 |
434,935 |
|||||||||
Total Repurchase
Agreements (Cost $434,935) |
434,935 |
||||||||||
Total Investment Securities (Cost $3,292,652) � 96.5% |
3,312,284 |
||||||||||
Other assets less liabilities � 3.5% |
120,403 |
||||||||||
Net Assets � 100.0% |
$ |
3,432,687 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
18,438 |
|||||
Aggregate gross unrealized depreciation |
� |
||||||
Net unrealized appreciation |
$ |
18,438 |
|||||
Federal income tax cost of investments |
$ |
3,293,846 |
Swap Agreements1
Inflation Expectations ETF had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
549,224 |
05/08/17 |
Societe Generale |
0.49 |
% |
Citi 30-Year TIPS
(Treasury Rate- Hedged) Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
$ |
(1,103 |
) |
||||||||||||||||||||||||||
3,883,274 |
01/06/17 |
Societe Generale |
(0.06 |
)% |
Citi 30-Year TIPS (Treasury Rate- Hedged) Index (long exposure to 30-year Treasury Bond inverse index) |
13,556 |
|||||||||||||||||||||||||||||
4,432,498 |
12,453 |
$ |
� |
$ |
(12,453 |
) |
$ |
� |
|||||||||||||||||||||||||||
$ |
4,432,498 |
$ |
12,453 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
62 :: RINF INFLATION EXPECTATIONS ETF :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 97.0% |
|||||||||||
$ |
3,571,937 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $3,571,965 |
$ |
3,571,937 |
|||||||
Total Repurchase
Agreements (Cost $3,571,937) |
3,571,937 |
||||||||||
Total Investment Securities (Cost $3,571,937) � � 97.0% |
3,571,937 |
||||||||||
Other assets less liabilities � 3.0% |
108,643 |
||||||||||
Net Assets � 100.0% |
$ |
3,680,580 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Credit Default Swap Agreements � Buy protection (a)
Underlying Instrument |
Fixed Deal Pay Rate |
Maturity Date |
Implied Credit Spread at May 31, 2016 (b) |
Notional Amount (c) |
Value |
Premiums Paid(Received) |
Unrealized (Depreciation) |
||||||||||||||||||||||||
CDX North American High
Yield Index; Version 2, Series 25* |
5.00 |
% |
12/20/2020 |
4.06 |
% |
$ |
415,800 |
** |
$ |
(19,270 |
) |
$ |
(4,018 |
) |
$ |
(15,252 |
) |
||||||||||||||
CDX North American High Yield Index;
Version 1, Series 26 |
5.00 |
% |
06/20/2021 |
4.35 |
% |
3,060,000 |
(112,394 |
) |
(43,500 |
) |
(68,894 |
) |
|||||||||||||||||||
$ |
(131,664 |
) |
$ |
(47,518 |
) |
$ |
(84,146 |
) |
* As of May 31, 2016, the CDX North America High Yield Index included securities which had defaulted and represented 1% of the Index.
** Reflects the notional amount after the default of securities.
(a) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a buyer of credit protection would have the right to deliver a reference obligation and receive the par (or other agreed-upon) value of such obligation from the counterparty in the event of a default or other credit event (such as a credit downgrade).
(b) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(c) The notional amount represents the maximum potential amount the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap agreement, for each security included in the CDX North American High Yield Index.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: CDS SHORT NORTH AMERICAN HY CREDIT ETF WYDE :: 63
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 84.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
54,000,000 |
0.00%, due 06/02/16 |
$ |
53,999,578 |
|||||||
81,000,000 |
0.00%, due 06/09/16 |
80,994,439 |
|||||||||
50,000,000 |
0.00%, due 06/16/16 |
49,994,479 |
|||||||||
295,000,000 |
0.00%, due 06/23/16 |
294,949,638 |
|||||||||
163,000,000 |
0.00%, due 06/30/16 |
162,960,842 |
|||||||||
207,000,000 |
0.00%, due 07/07/16 |
206,951,578 |
|||||||||
48,000,000 |
0.00%, due 07/14/16 |
47,986,405 |
|||||||||
90,000,000 |
0.00%, due 07/21/16 |
89,966,222 |
|||||||||
214,500,000 |
0.00%, due 07/28/16 |
214,432,609 |
|||||||||
130,000,000 |
0.00%, due 08/04/16 |
129,939,030 |
|||||||||
190,500,000 |
0.00%, due 08/11/16 |
190,399,416 |
|||||||||
160,000,000 |
0.00%, due 08/18/16 |
159,900,800 |
|||||||||
265,000,000 |
0.00%, due 08/25/16 |
264,821,390 |
|||||||||
135,000,000 |
0.00%, due 09/01/16 |
134,885,115 |
|||||||||
90,000,000 |
0.00%, due 09/08/16 |
89,922,600 |
|||||||||
168,000,000 |
0.00%, due 09/15/16 |
167,844,936 |
|||||||||
201,000,000 |
0.00%, due 09/22/16 |
200,797,392 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $2,540,840,772) |
2,540,746,469 |
||||||||||
Repurchase Agreements (a)(b) � 21.0% |
|||||||||||
633,713,463 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $633,718,466 |
633,713,463 |
|||||||||
Total Repurchase
Agreements (Cost $633,713,463) |
633,713,463 |
||||||||||
Total Investment Securities (Cost $3,174,554,235) � 105.4% |
3,174,459,932 |
||||||||||
Liabilities in excess of
other assets � (5.4%) |
(161,645,735 |
) |
|||||||||
Net Assets � 100.0% |
$ |
3,012,814,197 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $367,913,605.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
3,060 |
|||||
Aggregate gross unrealized depreciation |
(97,363 |
) |
|||||
Net unrealized depreciation |
$ |
(94,303 |
) |
||||
Federal income tax cost of investments |
$ |
3,174,554,235 |
Futures Contracts Sold
Short S&P500� had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
2,227 |
06/17/16 |
$ |
233,083,388 |
$ |
(4,103,598 |
) |
Cash collateral in the amount of $10,288,740 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
64 :: SH SHORT S&P500� :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short S&P500� had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(539,379,972 |
) |
11/07/16 |
Bank of America, N.A. |
(0.44 |
)% |
S&P 500� |
$ |
(39,379,482 |
) |
$ |
39,379,482 |
$ |
� |
$ |
� |
|||||||||||||||||||
(586,271,676 |
) |
01/08/18 |
Citibank, N.A. |
(0.41 |
)% |
S&P 500� |
(10,939,214 |
) |
10,939,214 |
� |
� |
||||||||||||||||||||||||
(422,924,597 |
) |
11/06/17 |
Credit Suisse
International |
(0.54 |
)% |
S&P 500� |
(14,335,268 |
) |
14,335,268 |
� |
� |
||||||||||||||||||||||||
(557,234,507 |
) |
11/06/17 |
Deutsche Bank AG |
(0.46 |
)% |
S&P 500� |
(22,431,864 |
) |
|||||||||||||||||||||||||||
(2,244,445 |
) |
11/06/17 |
Deutsche Bank AG |
(0.34 |
)% |
SPDR� S&P 500�
ETF Trust |
(21,559 |
) |
|||||||||||||||||||||||||||
(559,478,952 |
) |
(22,453,423 |
) |
22,453,423 |
� |
� |
|||||||||||||||||||||||||||||
Goldman Sachs |
|||||||||||||||||||||||||||||||||||
(311,348,875 |
) |
01/08/18 |
International |
(0.31 |
)% |
S&P 500� |
(43,689,500 |
) |
42,575,500 |
1,114,000 |
� |
||||||||||||||||||||||||
(127,778,646 |
) |
01/06/17 |
Morgan Stanley &
Co. International PLC |
(0.29 |
)% |
S&P 500� |
(25,758,738 |
) |
25,758,738 |
� |
� |
||||||||||||||||||||||||
(166,241,452 |
) |
11/06/17 |
Societe Generale |
(0.34 |
)% |
S&P 500� |
(7,803,782 |
) |
6,958,782 |
845,000 |
� |
||||||||||||||||||||||||
(66,406,360 |
) |
11/07/16 |
UBS AG |
(0.19 |
)% |
S&P 500� |
(20,831,634 |
) |
20,831,634 |
� |
� |
||||||||||||||||||||||||
$ |
(2,779,830,530 |
) |
$ |
(185,191,041 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT S&P500� SH :: 65
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 86.7% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
19,000,000 |
0.00%, due 06/02/16 |
$ |
18,999,847 |
|||||||
34,000,000 |
0.00%, due 06/09/16 |
33,997,922 |
|||||||||
25,000,000 |
0.00%, due 07/28/16 |
24,993,647 |
|||||||||
20,000,000 |
0.00%, due 08/11/16 |
19,989,440 |
|||||||||
45,000,000 |
0.00%, due 08/18/16 |
44,972,100 |
|||||||||
100,000,000 |
0.00%, due 08/25/16 |
99,932,600 |
|||||||||
99,000,000 |
0.00%, due 09/01/16 |
98,915,751 |
|||||||||
40,000,000 |
0.00%, due 09/08/16 |
39,965,600 |
|||||||||
10,000,000 |
0.00%, due 09/15/16 |
9,990,770 |
|||||||||
11,000,000 |
0.00%, due 09/22/16 |
10,988,912 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $402,774,631) |
402,746,589 |
||||||||||
Repurchase Agreements (a)(b) � 21.9% |
|||||||||||
101,659,581 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $101,660,383 |
101,659,581 |
|||||||||
Total Repurchase Agreements (Cost $101,659,581) |
101,659,581 |
||||||||||
Total Investment
Securities (Cost $504,434,212) � 108.6% |
504,406,170 |
||||||||||
Liabilities in excess of other assets � (8.6%) |
(40,054,499 |
) |
|||||||||
Net Assets � 100.0% |
$ |
464,351,671 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $49,967,475.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,350 |
|||||
Aggregate gross unrealized depreciation |
(29,392 |
) |
|||||
Net unrealized depreciation |
$ |
(28,042 |
) |
||||
Federal income tax cost of investments |
$ |
504,434,212 |
Futures Contracts Sold
Short QQQ� had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
414 |
06/17/16 |
$ |
37,435,950 |
$ |
(127,897 |
) |
Cash collateral in the amount of $1,639,440 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
66 :: PSQ SHORT QQQ� :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short QQQ� had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(32,236,227 |
) |
11/07/16 |
Bank of America, N.A. |
(0.44 |
)% |
NASDAQ-100 Index� |
$ |
(8,030,257 |
) |
$ |
8,030,257 |
$ |
� |
$ |
� |
|||||||||||||||||||
(67,514,777 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
NASDAQ-100 Index� |
(879,656 |
) |
877,656 |
2,000 |
� |
||||||||||||||||||||||||
(25,415,618 |
) |
11/06/17 |
Credit Suisse
International |
(0.54 |
)% |
NASDAQ-100 Index� |
447,481 |
� |
(447,481 |
) |
� |
||||||||||||||||||||||||
(94,182,250 |
) |
11/06/17 |
Deutsche Bank AG |
(0.56 |
)% |
NASDAQ-100 Index� |
(3,894,329 |
) |
3,766,329 |
128,000 |
� |
||||||||||||||||||||||||
(43,858,503 |
) |
11/07/16 |
Goldman Sachs
International |
(0.31 |
)% |
NASDAQ-100 Index� |
(6,984,726 |
) |
4,930,726 |
2,054,000 |
� |
||||||||||||||||||||||||
(91,100,451 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.49 |
)% |
NASDAQ-100 Index� |
(8,795,768 |
) |
|||||||||||||||||||||||||||
(1,738,988 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
(0.24 |
)% |
PowerShares QQQ
TrustSM, Series 1 |
61,095 |
||||||||||||||||||||||||||||
(92,839,439 |
) |
(8,734,673 |
) |
8,516,666 |
� |
(218,007 |
) |
||||||||||||||||||||||||||||
(40,681,110 |
) |
11/06/17 |
Societe Generale |
(0.54 |
)% |
NASDAQ-100 Index� |
345,975 |
� |
(345,975 |
) |
� |
||||||||||||||||||||||||
(30,019,638 |
) |
11/07/16 |
UBS AG |
(0.34 |
)% |
NASDAQ-100 Index� |
(7,782,934 |
) |
5,623,934 |
2,159,000 |
� |
||||||||||||||||||||||||
$ |
(426,747,562 |
) |
$ |
(35,513,119 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT QQQ� PSQ :: 67
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 83.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
20,000,000 |
0.00%, due 06/23/16 |
$ |
19,996,370 |
|||||||
60,000,000 |
0.00%, due 06/30/16 |
59,986,144 |
|||||||||
108,000,000 |
0.00%, due 07/07/16 |
107,975,820 |
|||||||||
9,000,000 |
0.00%, due 07/21/16 |
8,995,925 |
|||||||||
45,000,000 |
0.00%, due 07/28/16 |
44,983,613 |
|||||||||
17,000,000 |
0.00%, due 08/11/16 |
16,991,024 |
|||||||||
30,000,000 |
0.00%, due 08/25/16 |
29,979,780 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $288,912,606) |
288,908,676 |
||||||||||
Repurchase Agreements (a)(b) � 18.4% |
|||||||||||
63,696,672 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $63,697,175 |
63,696,672 |
|||||||||
Total Repurchase
Agreements (Cost $63,696,672) |
63,696,672 |
||||||||||
Total Investment Securities (Cost $352,609,278) � 101.9% |
352,605,348 |
||||||||||
Liabilities in excess of
other assets � (1.9%) |
(6,525,950 |
) |
|||||||||
Net Assets � 100.0% |
$ |
346,079,398 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $42,640,217.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
� |
|||||
Aggregate gross unrealized depreciation |
(3,930 |
) |
|||||
Net unrealized depreciation |
$ |
(3,930 |
) |
||||
Federal income tax cost of investments |
$ |
352,609,278 |
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
288 |
06/17/16 |
$ |
25,581,600 |
$ |
(79,010 |
) |
Cash collateral in the amount of $1,029,600 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
68 :: DOG SHORT DOW30SM :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short Dow30SM had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,458,741 |
) |
11/07/16 |
Bank of America, N.A. |
(0.39 |
)% |
Dow Jones Industrial
AverageSM |
$ |
(3,718,415 |
) |
$ |
3,718,415 |
$ |
� |
$ |
� |
|||||||||||||||||||
(35,152,391 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
Dow Jones Industrial AverageSM |
(336,265 |
) |
104,265 |
232,000 |
� |
||||||||||||||||||||||||
(71,688,440 |
) |
11/06/17 |
Credit Suisse
International |
(0.54 |
)% |
Dow Jones Industrial
AverageSM |
(563,077 |
) |
563,077 |
� |
� |
||||||||||||||||||||||||
(2,997,688 |
) |
11/06/17 |
Deutsche Bank AG |
(0.16 |
)% |
SPDR� Dow Jones Industrial AverageSM ETF Trust |
(48,180 |
) |
|||||||||||||||||||||||||||
(2,555,337 |
) |
11/06/17 |
Deutsche Bank AG |
(0.21 |
)% |
Dow Jones Industrial
AverageSM |
(635,171 |
) |
|||||||||||||||||||||||||||
(5,553,025 |
) |
(683,351 |
) |
579,351 |
104,000 |
� |
|||||||||||||||||||||||||||||
(125,892,126 |
) |
11/07/16 |
Goldman Sachs
International |
(0.26 |
)% |
Dow Jones Industrial
AverageSM |
(14,342,285 |
) |
� |
14,342,285 |
� |
||||||||||||||||||||||||
(40,562,749 |
) |
11/06/17 |
Societe Generale |
(0.49 |
)% |
Dow Jones Industrial AverageSM |
(1,084,696 |
) |
1,084,696 |
� |
� |
||||||||||||||||||||||||
(38,281,987 |
) |
11/07/16 |
UBS AG |
(0.54 |
)% |
Dow Jones Industrial
AverageSM |
(2,463,473 |
) |
2,463,473 |
� |
� |
||||||||||||||||||||||||
$ |
(320,589,459 |
) |
$ |
(23,191,562 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT DOW30SM DOG :: 69
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities � 79.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
9,000,000 |
0.00%, due 06/09/16 |
$ |
8,999,470 |
|||||||
15,000,000 |
0.00%, due 06/23/16 |
14,997,277 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $23,996,747) |
23,996,747 |
||||||||||
Repurchase Agreements (a) � 18.3% |
|||||||||||
5,517,042 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $5,517,086 |
5,517,042 |
|||||||||
Total Repurchase Agreements (Cost $5,517,042) |
5,517,042 |
||||||||||
Total Investment
Securities (Cost $29,513,789) � � 97.8% |
29,513,789 |
||||||||||
Other assets less liabilities � 2.2% |
668,008 |
||||||||||
Net Assets � 100.0% |
$ |
30,181,797 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
13 |
06/17/16 |
$ |
1,938,040 |
$ |
(53,237 |
) |
Cash collateral in the amount of $81,510 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
Swap Agreements1
Short MidCap400 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,776,516 |
) |
11/07/16 |
Bank of America, N.A. |
(0.24 |
)% |
S&P MidCap 400� |
$ |
(1,092,971 |
) |
$ |
� |
$ |
940,000 |
$ |
(152,971 |
) |
||||||||||||||||||
(1,741,423 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
S&P MidCap 400� |
(115,236 |
) |
� |
� |
(115,236 |
) |
|||||||||||||||||||||||
(11,248,940 |
) |
11/06/17 |
Credit Suisse
International |
(0.44 |
)% |
S&P MidCap 400� |
(889,717 |
) |
� |
889,717 |
� |
||||||||||||||||||||||||
(1,417,936 |
) |
11/06/17 |
Deutsche Bank AG |
(0.01 |
)% |
S&P MidCap 400� |
(89,410 |
) |
� |
64,000 |
(25,410 |
) |
|||||||||||||||||||||||
(3,011,975 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
(0.14 |
)% |
S&P MidCap 400� |
(343,994 |
) |
� |
280,000 |
(63,994 |
) |
|||||||||||||||||||||||
(9,033,746 |
) |
11/06/17 |
Societe Generale |
(0.34 |
)% |
S&P MidCap 400� |
(658,055 |
) |
� |
418,000 |
(240,055 |
) |
|||||||||||||||||||||||
$ |
(28,230,536 |
) |
$ |
(3,189,383 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
70 :: MYY SHORT MIDCAP400 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT MIDCAP400 MYY :: 71
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 86.2% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
28,000,000 |
0.00%, due 06/16/16 |
$ |
27,996,850 |
|||||||
43,000,000 |
0.00%, due 06/30/16 |
42,988,916 |
|||||||||
50,000,000 |
0.00%, due 07/14/16 |
49,986,801 |
|||||||||
100,000,000 |
0.00%, due 07/21/16 |
99,952,778 |
|||||||||
30,000,000 |
0.00%, due 07/28/16 |
29,989,265 |
|||||||||
21,000,000 |
0.00%, due 08/04/16 |
20,990,151 |
|||||||||
100,000,000 |
0.00%, due 08/18/16 |
99,938,000 |
|||||||||
20,000,000 |
0.00%, due 08/25/16 |
19,986,520 |
|||||||||
65,000,000 |
0.00%, due 09/01/16 |
64,944,685 |
|||||||||
20,000,000 |
0.00%, due 09/22/16 |
19,979,840 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $476,769,004) |
476,753,806 |
||||||||||
Repurchase Agreements (a)(b) � 22.1% |
|||||||||||
121,980,733 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $121,981,696 |
121,980,733 |
|||||||||
Total Repurchase Agreements (Cost $121,980,733) |
121,980,733 |
||||||||||
Total Investment
Securities (Cost $598,749,737) � 108.3% |
598,734,539 |
||||||||||
Liabilities in excess of other assets � (8.3%) |
(45,860,803 |
) |
|||||||||
Net Assets � 100.0% |
$ |
552,873,736 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $86,910,152.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
569 |
|||||
Aggregate gross unrealized depreciation |
(15,767 |
) |
|||||
Net unrealized depreciation |
$ |
(15,198 |
) |
||||
Federal income tax cost of investments |
$ |
598,749,737 |
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
341 |
06/17/16 |
$ |
39,313,890 |
$ |
(947,348 |
) |
Cash collateral in the amount of $1,841,400 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
72 :: RWM SHORT RUSSELL2000 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short Russell2000 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(35,288,043 |
) |
11/07/16 |
Bank of America, N.A. |
0.31 |
% |
Russell 2000� Index |
$ |
(17,595,267 |
) |
$ |
17,595,267 |
$ |
� |
$ |
� |
|||||||||||||||||||
(51,143,093 |
) |
11/06/17 |
Citibank, N.A. |
0.29 |
% |
Russell 2000� Index |
(3,216,305 |
) |
3,048,547 |
� |
(167,758 |
) |
|||||||||||||||||||||||
(4,504,115 |
) |
11/06/17 |
Credit Suisse
International |
0.36 |
% |
Russell 2000� Index |
307,219 |
� |
(307,219 |
) |
� |
||||||||||||||||||||||||
(2,850,480 |
) |
11/06/17 |
Deutsche Bank AG |
0.59 |
% |
Russell 2000� Index |
728,556 |
||||||||||||||||||||||||||||
(556,639 |
) |
11/06/17 |
Deutsche Bank AG |
0.59 |
% |
iShares� Russell 2000
ETF |
14,217 |
||||||||||||||||||||||||||||
(3,407,119 |
) |
742,773 |
� |
(742,773 |
) |
� |
|||||||||||||||||||||||||||||
(80,619,444 |
) |
11/07/16 |
Goldman Sachs
International |
0.34 |
% |
Russell 2000� Index |
(14,955,761 |
) |
14,955,761 |
� |
� |
||||||||||||||||||||||||
(104,229,331 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
0.26 |
% |
Russell 2000� Index |
(7,778,541 |
) |
|||||||||||||||||||||||||||
(877,032 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
0.46 |
% |
iShares� Russell 2000
ETF |
23,035 |
||||||||||||||||||||||||||||
(105,106,363 |
) |
(7,755,506 |
) |
7,353,722 |
� |
(401,784 |
) |
||||||||||||||||||||||||||||
(49,567,180 |
) |
11/06/17 |
Societe Generale |
0.26 |
% |
Russell 2000� Index |
(1,665,968 |
) |
1,665,968 |
� |
� |
||||||||||||||||||||||||
(183,973,706 |
) |
11/07/16 |
UBS AG |
0.21 |
% |
Russell 2000� Index |
(7,097,772 |
) |
2,996,772 |
4,101,000 |
� |
||||||||||||||||||||||||
$ |
(513,609,063 |
) |
$ |
(51,236,587 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT RUSSELL2000 RWM :: 73
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 97.1% |
|||||||||||
$ |
11,376,271 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $11,376,362 |
$ |
11,376,271 |
|||||||
Total Repurchase
Agreements (Cost $11,376,271) |
11,376,271 |
||||||||||
Total Investment Securities (Cost $11,376,271) � � 97.1% |
11,376,271 |
||||||||||
Other assets less liabilities � 2.9% |
340,463 |
||||||||||
Net Assets � 100.0% |
$ |
11,716,734 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
Short SmallCap600 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,096,655 |
) |
11/06/17 |
Bank of America, N.A. |
(0.14 |
)% |
S&P SmallCap 600� |
$ |
5,956 |
$ |
(5,956 |
) |
$ |
� |
$ |
� |
|||||||||||||||||||
(1,881,458 |
) |
11/06/17 |
Citibank, N.A. |
(0.21 |
)% |
S&P SmallCap 600� |
(366,325 |
) |
� |
164,000 |
(202,325 |
) |
|||||||||||||||||||||||
(1,805,536 |
) |
11/06/17 |
Credit Suisse
International |
0.01 |
% |
S&P SmallCap 600� |
(48,912 |
) |
� |
48,912 |
� |
||||||||||||||||||||||||
(1,898,953 |
) |
11/06/17 |
Deutsche Bank AG |
0.39 |
% |
S&P SmallCap 600� |
(71,191 |
) |
� |
55,000 |
(16,191 |
) |
|||||||||||||||||||||||
(2,296,518 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
0.11 |
% |
S&P SmallCap 600� |
(113,099 |
) |
� |
� |
(113,099 |
) |
|||||||||||||||||||||||
(1,725,852 |
) |
11/06/17 |
Societe Generale |
0.16 |
% |
S&P SmallCap 600� |
(66,807 |
) |
� |
66,807 |
� |
||||||||||||||||||||||||
$ |
(11,704,972 |
) |
$ |
(660,378 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
74 :: SBB SHORT SMALLCAP600 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 87.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
220,000,000 |
0.00%, due 06/02/16 |
$ |
219,998,431 |
|||||||
167,000,000 |
0.00%, due 06/09/16 |
166,989,277 |
|||||||||
187,000,000 |
0.00%, due 06/16/16 |
186,978,776 |
|||||||||
235,000,000 |
0.00%, due 06/30/16 |
234,945,766 |
|||||||||
117,000,000 |
0.00%, due 07/07/16 |
116,968,405 |
|||||||||
87,000,000 |
0.00%, due 07/14/16 |
86,973,459 |
|||||||||
139,000,000 |
0.00%, due 07/21/16 |
138,943,046 |
|||||||||
260,000,000 |
0.00%, due 07/28/16 |
259,907,771 |
|||||||||
165,000,000 |
0.00%, due 08/04/16 |
164,922,615 |
|||||||||
75,000,000 |
0.00%, due 08/11/16 |
74,960,400 |
|||||||||
50,000,000 |
0.00%, due 08/25/16 |
49,966,300 |
|||||||||
50,000,000 |
0.00%, due 09/01/16 |
49,957,449 |
|||||||||
50,000,000 |
0.00%, due 09/08/16 |
49,957,000 |
|||||||||
90,000,000 |
0.00%, due 09/22/16 |
89,909,280 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $1,891,398,382) |
1,891,377,975 |
||||||||||
Repurchase Agreements (a)(b) � 19.8% |
|||||||||||
429,450,165 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $429,453,554 |
429,450,165 |
|||||||||
Total Repurchase Agreements (Cost $429,450,165) |
429,450,165 |
||||||||||
Total Investment
Securities (Cost $2,320,848,547) � 107.1% |
2,320,828,140 |
||||||||||
Liabilities in excess of other assets � (7.1%) |
(153,207,676 |
) |
|||||||||
Net Assets � 100.0% |
$ |
2,167,620,464 |
|
|
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $465,490,858.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,688 |
|||||
Aggregate gross unrealized depreciation |
(22,095 |
) |
|||||
Net unrealized depreciation |
$ |
(20,407 |
) |
||||
Federal income tax cost of investments |
$ |
2,320,848,547 |
Futures Contracts Sold
UltraShort S&P500� had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
2,462 |
06/17/16 |
$ |
257,679,075 |
$ |
(1,986,139 |
) |
Cash collateral in the amount of $11,374,440 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT S&P500� SDS :: 75
Swap Agreements1
UltraShort S&P500� had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(767,958,058 |
) |
11/07/16 |
Bank of America, N.A. |
(0.44 |
)% |
S&P 500� |
$ |
(66,225,238 |
) |
$ |
66,225,238 |
$ |
� |
$ |
� |
|||||||||||||||||||
(753,790,799 |
) |
01/08/18 |
Citibank, N.A. |
(0.41 |
)% |
S&P 500� |
(15,065,211 |
) |
8,119,210 |
6,946,001 |
� |
||||||||||||||||||||||||
(801,839,271 |
) |
11/06/17 |
Credit
Suisse International |
(0.54 |
)% |
S&P 500� |
3,723,914 |
� |
(2,980,000 |
) |
743,914 |
||||||||||||||||||||||||
(987,376,824 |
) |
11/06/17 |
Deutsche Bank AG |
(0.46 |
)% |
S&P 500� |
(33,875,950 |
) |
|||||||||||||||||||||||||||
(6,622,641 |
) |
11/06/17 |
Deutsche Bank AG |
(0.34 |
)% |
SPDR� S&P 500�
ETF Trust |
(378,002 |
) |
|||||||||||||||||||||||||||
(993,999,465 |
) |
(34,253,952 |
) |
34,253,952 |
� |
� |
|||||||||||||||||||||||||||||
(351,470,036 |
) |
01/08/18 |
Goldman Sachs
International |
(0.31 |
)% |
S&P 500� |
(60,571,624 |
) |
|||||||||||||||||||||||||||
(632,477 |
) |
11/07/16 |
Goldman Sachs International |
(0.22 |
)% |
SPDR� S&P 500� ETF Trust |
(43,904 |
) |
|||||||||||||||||||||||||||
(352,102,513 |
) |
(60,615,528 |
) |
34,563,528 |
26,052,000 |
� |
|||||||||||||||||||||||||||||
(128,799,564 |
) |
01/06/17 |
Morgan Stanley & Co. International PLC |
(0.29 |
)% |
S&P 500� |
(8,948,786 |
) |
8,948,786 |
� |
� |
||||||||||||||||||||||||
(202,236,621 |
) |
11/06/17 |
Societe Generale |
(0.34 |
)% |
S&P 500� |
(15,720,898 |
) |
15,720,898 |
� |
� |
||||||||||||||||||||||||
(77,083,781 |
) |
11/07/16 |
UBS AG |
(0.19 |
)% |
S&P 500� |
(37,461,236 |
) |
37,461,236 |
� |
� |
||||||||||||||||||||||||
$ |
(4,077,810,072 |
) |
$ |
(234,566,935 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
76 :: SDS ULTRASHORT S&P500� :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 90.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 06/02/16 |
$ |
49,999,616 |
|||||||
93,000,000 |
0.00%, due 07/07/16 |
92,973,270 |
|||||||||
15,000,000 |
0.00%, due 07/14/16 |
14,996,040 |
|||||||||
10,000,000 |
0.00%, due 07/21/16 |
9,996,840 |
|||||||||
90,000,000 |
0.00%, due 07/28/16 |
89,966,940 |
|||||||||
25,000,000 |
0.00%, due 08/11/16 |
24,986,801 |
|||||||||
10,000,000 |
0.00%, due 08/25/16 |
9,993,260 |
|||||||||
35,000,000 |
0.00%, due 09/01/16 |
34,970,215 |
|||||||||
23,000,000 |
0.00%, due 09/22/16 |
22,976,816 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $350,869,504) |
350,859,798 |
||||||||||
Repurchase Agreements (a)(b) � 22.6% |
|||||||||||
88,259,577 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $88,260,273 |
88,259,577 |
|||||||||
Total Repurchase
Agreements (Cost $88,259,577) |
88,259,577 |
||||||||||
Total Investment Securities (Cost $439,129,081) � 112.7% |
439,119,375 |
||||||||||
Liabilities in excess of
other assets � (12.7%) |
(49,383,241 |
) |
|||||||||
Net Assets � 100.0% |
$ |
389,736,134 |
|
|
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $75,035,319.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
284 |
|||||
Aggregate gross unrealized depreciation |
(9,990 |
) |
|||||
Net unrealized depreciation |
$ |
(9,706 |
) |
||||
Federal income tax cost of investments |
$ |
439,129,081 |
Futures Contracts Sold
UltraShort QQQ� had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
322 |
06/17/16 |
$ |
29,116,850 |
$ |
(3,484 |
) |
Cash collateral in the amount of $1,275,120 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT QQQ� QID :: 77
Swap Agreements1
UltraShort QQQ� had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(49,381,681 |
) |
11/07/16 |
Bank of America, N.A. |
(0.44 |
)% |
NASDAQ-100 Index� |
$ |
(22,356,571 |
) |
$ |
22,356,570 |
$ |
1 |
$ |
� |
|||||||||||||||||||
(168,196,556 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
NASDAQ-100 Index� |
(161,481 |
) |
161,481 |
� |
� |
||||||||||||||||||||||||
(52,910,638 |
) |
11/06/17 |
Credit Suisse
International |
(0.54 |
)% |
NASDAQ-100 Index� |
1,194,730 |
� |
(1,194,730 |
) |
� |
||||||||||||||||||||||||
(177,811,094 |
) |
11/06/17 |
Deutsche Bank AG |
(0.56 |
)% |
NASDAQ-100 Index� |
(1,440,116 |
) |
|||||||||||||||||||||||||||
(3,126,936 |
) |
11/06/17 |
Deutsche Bank AG |
(0.36 |
)% |
PowerShares QQQ
TrustSM, Series 1 |
112,166 |
||||||||||||||||||||||||||||
(180,938,030 |
) |
(1,327,950 |
) |
1,327,950 |
� |
� |
|||||||||||||||||||||||||||||
(36,834,497 |
) |
11/07/16 |
Goldman Sachs
International |
(0.31 |
)% |
NASDAQ-100 Index� |
(15,029,850 |
) |
|||||||||||||||||||||||||||
(373,856 |
) |
11/06/17 |
Goldman Sachs International |
(0.11 |
)% |
PowerShares QQQ TrustSM, Series 1 |
(42,628 |
) |
|||||||||||||||||||||||||||
(37,208,353 |
) |
(15,072,478 |
) |
15,072,478 |
� |
� |
|||||||||||||||||||||||||||||
(138,515,146 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.49 |
)% |
NASDAQ-100 Index� |
(9,754,730 |
) |
|||||||||||||||||||||||||||
(391,050 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
(0.24 |
)% |
PowerShares QQQ
TrustSM, Series 1 |
13,739 |
||||||||||||||||||||||||||||
(138,906,196 |
) |
(9,740,991 |
) |
9,404,795 |
� |
(336,196 |
) |
||||||||||||||||||||||||||||
(114,436,492 |
) |
11/06/17 |
Societe Generale |
(0.54 |
)% |
NASDAQ-100 Index� |
(726,882 |
) |
726,882 |
� |
� |
||||||||||||||||||||||||
(8,234,884 |
) |
11/07/16 |
UBS AG |
(0.34 |
)% |
NASDAQ-100 Index� |
(2,408,850 |
) |
2,408,850 |
� |
� |
||||||||||||||||||||||||
$ |
(750,212,830 |
) |
$ |
(50,600,473 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
78 :: QID ULTRASHORT QQQ� :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 92.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
15,000,000 |
0.00%, due 06/02/16 |
$ |
14,999,885 |
|||||||
29,000,000 |
0.00%, due 06/16/16 |
28,996,725 |
|||||||||
40,000,000 |
0.00%, due 06/23/16 |
39,992,911 |
|||||||||
57,000,000 |
0.00%, due 08/04/16 |
56,973,267 |
|||||||||
25,000,000 |
0.00%, due 08/25/16 |
24,983,150 |
|||||||||
35,000,000 |
0.00%, due 09/01/16 |
34,970,215 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $200,927,939) |
200,916,153 |
||||||||||
Repurchase Agreements (a)(b) � 29.8% |
|||||||||||
64,376,515 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $64,377,022 |
64,376,515 |
|||||||||
Total Repurchase Agreements (Cost $64,376,515) |
64,376,515 |
||||||||||
Total Investment
Securities (Cost $265,304,454) � 122.6% |
265,292,668 |
||||||||||
Liabilities in excess of other assets � (22.6%) |
(48,982,193 |
) |
|||||||||
Net Assets � 100.0% |
$ |
216,310,475 |
|
|
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $76,246,704.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
� |
|||||
Aggregate gross unrealized depreciation |
(11,786 |
) |
|||||
Net unrealized depreciation |
$ |
(11,786 |
) |
||||
Federal income tax cost of investments |
$ |
265,304,454 |
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
69 |
06/17/16 |
$ |
6,128,925 |
$ |
53,088 |
Cash collateral in the amount of $246,675 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT DOW30SM DXD :: 79
Swap Agreements1
UltraShort Dow30SM had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(12,643,621 |
) |
11/07/16 |
Bank of America, N.A. |
(0.39 |
)% |
Dow Jones Industrial
AverageSM |
$ |
(7,432,730 |
) |
$ |
7,432,730 |
$ |
� |
$ |
� |
|||||||||||||||||||
(12,058,250 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
Dow Jones Industrial AverageSM |
(270,979 |
) |
225,979 |
45,000 |
� |
||||||||||||||||||||||||
(55,769,930 |
) |
11/06/17 |
Credit Suisse
International |
(0.54 |
)% |
Dow Jones Industrial
AverageSM |
(633,461 |
) |
633,461 |
� |
� |
||||||||||||||||||||||||
(2,031,101 |
) |
11/06/17 |
Deutsche Bank AG |
(0.21 |
)% |
Dow Jones Industrial AverageSM |
(1,310,392 |
) |
|||||||||||||||||||||||||||
(939,690 |
) |
11/06/17 |
Deutsche Bank AG |
(0.16 |
)% |
SPDR� Dow Jones
Industrial AverageSM ETF Trust |
(2,779 |
) |
|||||||||||||||||||||||||||
(2,970,791 |
) |
(1,313,171 |
) |
1,313,171 |
� |
� |
|||||||||||||||||||||||||||||
(163,666,918 |
) |
11/07/16 |
Goldman Sachs
International |
(0.26 |
)% |
Dow Jones Industrial
AverageSM |
(23,440,379 |
) |
|||||||||||||||||||||||||||
(1,277,527 |
) |
11/07/16 |
Goldman Sachs International |
(0.09 |
)% |
SPDR� Dow Jones Industrial AverageSM ETF Trust |
(138,379 |
) |
|||||||||||||||||||||||||||
(164,944,445 |
) |
(23,578,758 |
) |
19,854,758 |
3,724,000 |
� |
|||||||||||||||||||||||||||||
(77,847,843 |
) |
11/06/17 |
Societe Generale |
(0.49 |
)% |
Dow Jones Industrial AverageSM |
(3,842,770 |
) |
3,842,770 |
� |
� |
||||||||||||||||||||||||
(100,357,095 |
) |
11/07/16 |
UBS AG |
(0.54 |
)% |
Dow Jones Industrial
AverageSM |
(4,789,917 |
) |
4,789,917 |
� |
� |
||||||||||||||||||||||||
$ |
(426,591,975 |
) |
$ |
(41,861,786 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
80 :: DXD ULTRASHORT DOW30SM :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 96.4% |
|||||||||||
$ |
6,639,770 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $6,639,822 |
$ |
6,639,770 |
|||||||
Total Repurchase
Agreements (Cost $6,639,770) |
6,639,770 |
||||||||||
Total Investment Securities (Cost $6,639,770) � � 96.4% |
6,639,770 |
||||||||||
Other assets less liabilities � 3.6% |
249,543 |
||||||||||
Net Assets � 100.0% |
$ |
6,889,313 |
|
|
|
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
5 |
06/17/16 |
$ |
745,400 |
$ |
(20,632 |
) |
Cash collateral in the amount of $31,350 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
Swap Agreements1
UltraShort MidCap400 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,414,209 |
) |
11/07/16 |
Bank of America, N.A. |
(0.24 |
)% |
S&P MidCap 400� |
$ |
(291,309 |
) |
$ |
� |
$ |
74,000 |
$ |
(217,309 |
) |
||||||||||||||||||
(1,450,655 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
S&P MidCap 400� |
(578,357 |
) |
� |
332,000 |
(246,357 |
) |
|||||||||||||||||||||||
(4,432,606 |
) |
11/06/17 |
Credit Suisse
International |
(0.44 |
)% |
S&P MidCap 400� |
(172,116 |
) |
� |
172,116 |
� |
||||||||||||||||||||||||
(1,168,783 |
) |
11/06/17 |
Deutsche Bank AG |
(0.01 |
)% |
S&P MidCap 400� |
(81,040 |
) |
|||||||||||||||||||||||||||
(45,755 |
) |
11/06/17 |
Deutsche Bank AG |
0.09 |
% |
SPDR� S&P
MidCap 400� ETF Trust |
(4,269 |
) |
|||||||||||||||||||||||||||
(1,214,538 |
) |
(85,309 |
) |
� |
85,309 |
� |
|||||||||||||||||||||||||||||
(885,614 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
(0.14 |
)% |
S&P MidCap 400� |
(5,168 |
) |
� |
� |
(5,168 |
) |
|||||||||||||||||||||||
(2,631,230 |
) |
11/06/17 |
Societe Generale |
(0.34 |
)% |
S&P MidCap 400� |
(96,742 |
) |
� |
32,000 |
(64,742 |
) |
|||||||||||||||||||||||
$ |
(13,028,852 |
) |
$ |
(1,229,001 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT MIDCAP400 MZZ :: 81
disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
82 :: MZZ ULTRASHORT MIDCAP400 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 81.7% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
6,000,000 |
0.00%, due 06/16/16 |
$ |
5,999,724 |
|||||||
6,000,000 |
0.00%, due 06/23/16 |
5,999,562 |
|||||||||
10,000,000 |
0.00%, due 06/30/16 |
9,997,422 |
|||||||||
7,000,000 |
0.00%, due 07/07/16 |
6,998,180 |
|||||||||
8,000,000 |
0.00%, due 07/21/16 |
7,997,472 |
|||||||||
30,000,000 |
0.00%, due 07/28/16 |
29,989,265 |
|||||||||
43,000,000 |
0.00%, due 08/04/16 |
42,979,833 |
|||||||||
68,000,000 |
0.00%, due 09/01/16 |
67,942,132 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $177,917,448) |
177,903,590 |
||||||||||
Repurchase Agreements (a)(b) � 29.5% |
|||||||||||
64,260,091 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $64,260,598 |
64,260,091 |
|||||||||
Total Repurchase Agreements (Cost $64,260,091) |
64,260,091 |
||||||||||
Total Investment
Securities (Cost $242,177,539) � 111.2% |
242,163,681 |
||||||||||
Liabilities in excess of other assets � (11.2%) |
(24,469,995 |
) |
|||||||||
Net Assets � 100.0% |
$ |
217,693,686 |
|
|
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $25,796,796.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
� |
|||||
Aggregate gross unrealized depreciation |
(13,858 |
) |
|||||
Net unrealized depreciation |
$ |
(13,858 |
) |
||||
Federal income tax cost of investments |
$ |
242,177,539 |
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
72 |
06/17/16 |
$ |
8,300,880 |
$ |
(111,706 |
) |
Cash collateral in the amount of $388,800 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT RUSSELL2000 TWM :: 83
Swap Agreements1
UltraShort Russell2000 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(8,155,382 |
) |
11/07/16 |
Bank of America, N.A. |
0.31 |
% |
Russell 2000� Index |
$ |
(11,937,485 |
) |
$ |
11,903,504 |
$ |
� |
$ |
(33,981 |
) |
||||||||||||||||||
(62,302,765 |
) |
11/06/17 |
Citibank, N.A. |
0.29 |
% |
Russell 2000� Index |
(4,391,257 |
) |
3,611,257 |
780,000 |
� |
||||||||||||||||||||||||
(6,287,695 |
) |
11/06/17 |
Credit Suisse
International |
0.36 |
% |
Russell 2000� Index |
170,220 |
� |
(170,220 |
) |
� |
||||||||||||||||||||||||
(1,388,695 |
) |
11/06/17 |
Deutsche Bank AG |
0.59 |
% |
Russell 2000� Index |
996,948 |
||||||||||||||||||||||||||||
(873,466 |
) |
11/06/17 |
Deutsche Bank AG |
0.59 |
% |
iShares� Russell
2000 ETF |
22,309 |
||||||||||||||||||||||||||||
(2,262,161 |
) |
1,019,257 |
� |
(1,019,257 |
) |
� |
|||||||||||||||||||||||||||||
(1,331,921 |
) |
11/06/17 |
Goldman Sachs
International |
0.34 |
% |
Russell 2000� Index |
(1,108 |
) |
� |
1,108 |
� |
||||||||||||||||||||||||
(60,256,322 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
0.26 |
% |
Russell 2000� Index |
5,693,769 |
||||||||||||||||||||||||||||
(1,013,203 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
0.46 |
% |
iShares� Russell
2000 ETF |
26,612 |
||||||||||||||||||||||||||||
(61,269,525 |
) |
5,720,381 |
(5,720,381 |
) |
� |
� |
|||||||||||||||||||||||||||||
(79,746,926 |
) |
11/06/17 |
Societe Generale |
0.26 |
% |
Russell 2000� Index |
(5,432,227 |
) |
5,106,227 |
326,000 |
� |
||||||||||||||||||||||||
(205,791,122 |
) |
11/07/16 |
UBS AG |
0.21 |
% |
Russell 2000� Index |
(5,901,075 |
) |
2,181,107 |
� |
(3,719,968 |
) |
|||||||||||||||||||||||
$ |
(427,147,497 |
) |
$ |
(20,753,294 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
84 :: TWM ULTRASHORT RUSSELL2000 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 92.0% |
|||||||||||
$ |
3,607,966 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $3,607,994 |
$ |
3,607,966 |
|||||||
Total Repurchase
Agreements (Cost $3,607,966) |
3,607,966 |
||||||||||
Total Investment Securities (Cost $3,607,966) � � 92.0% |
3,607,966 |
||||||||||
Other assets less liabilities � 8.0% |
312,488 |
||||||||||
Net Assets � 100.0% |
$ |
3,920,454 |
|
|
|
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
UltraShort SmallCap600 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,052,224 |
) |
11/06/17 |
Bank of America, N.A. |
(0.14 |
)% |
S&P SmallCap 600� |
$ |
(95,277 |
) |
$ |
� |
$ |
95,277 |
$ |
� |
|||||||||||||||||||
(1,682,531 |
) |
11/06/17 |
Credit Suisse International |
0.01 |
% |
S&P SmallCap 600� |
(44,612 |
) |
� |
44,612 |
� |
||||||||||||||||||||||||
(2,023,380 |
) |
01/08/18 |
Deutsche Bank AG |
0.39 |
% |
S&P SmallCap 600� |
(369,153 |
) |
|||||||||||||||||||||||||||
(118,200 |
) |
11/06/17 |
Deutsche Bank AG |
0.39 |
% |
iShares� Core S&P Small-Cap ETF |
(661 |
) |
|||||||||||||||||||||||||||
(2,141,580 |
) |
(369,814 |
) |
� |
255,000 |
(114,814 |
) |
||||||||||||||||||||||||||||
(1,730,388 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
0.11 |
% |
S&P SmallCap 600� |
(23,236 |
) |
� |
� |
(23,236 |
) |
|||||||||||||||||||||||
(1,238,661 |
) |
11/06/17 |
Societe Generale |
0.16 |
% |
S&P SmallCap 600� |
(45,380 |
) |
� |
10,000 |
(35,380 |
) |
|||||||||||||||||||||||
$ (7,845,384) |
$ |
(578,319 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT SMALLCAP600 SDD :: 85
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 92.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
51,000,000 |
0.00%, due 06/02/16 |
$ |
50,999,602 |
|||||||
26,000,000 |
0.00%, due 06/09/16 |
25,998,469 |
|||||||||
133,000,000 |
0.00%, due 06/16/16 |
132,984,830 |
|||||||||
70,000,000 |
0.00%, due 06/30/16 |
69,982,963 |
|||||||||
79,000,000 |
0.00%, due 07/07/16 |
78,977,510 |
|||||||||
22,000,000 |
0.00%, due 07/14/16 |
21,994,193 |
|||||||||
21,000,000 |
0.00%, due 07/21/16 |
20,990,492 |
|||||||||
28,000,000 |
0.00%, due 07/28/16 |
27,989,471 |
|||||||||
58,000,000 |
0.00%, due 08/04/16 |
57,972,797 |
|||||||||
32,000,000 |
0.00%, due 08/11/16 |
31,983,103 |
|||||||||
10,000,000 |
0.00%, due 08/25/16 |
9,993,260 |
|||||||||
89,000,000 |
0.00%, due 09/01/16 |
88,924,261 |
|||||||||
40,000,000 |
0.00%, due 09/08/16 |
39,965,600 |
|||||||||
100,000,000 |
0.00%, due 10/27/16 |
99,829,500 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $758,615,304) |
758,586,051 |
||||||||||
Repurchase Agreements (a)(b) � 22.9% |
|||||||||||
188,245,550 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $188,247,037 |
188,245,550 |
|||||||||
Total Repurchase Agreements (Cost $188,245,550) |
188,245,550 |
||||||||||
Total Investment
Securities (Cost $946,860,854) � 115.4% |
946,831,601 |
||||||||||
Liabilities in excess of other assets � (15.4%) |
(126,348,109 |
) |
|||||||||
Net Assets � 100.0% |
$ |
820,483,492 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $368,496,496.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,350 |
|||||
Aggregate gross unrealized depreciation |
(30,603 |
) |
|||||
Net unrealized depreciation |
$ |
(29,253 |
) |
||||
Federal income tax cost of investments |
$ |
946,860,854 |
Futures Contracts Sold
UltraPro Short S&P500� had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
826 |
06/17/16 |
$ |
86,451,225 |
$ |
(961,387 |
) |
Cash collateral in the amount of $3,816,120 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
86 :: SPXU ULTRAPRO SHORT S&P500� :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short S&P500� had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(385,490,930 |
) |
11/07/16 |
Bank of America,N.A. |
(0.44 |
)% |
S&P 500� |
$ |
(39,240,229 |
) |
$ |
39,240,229 |
$ |
� |
$ |
� |
|||||||||||||||||||
(549,119,220 |
) |
01/08/18 |
Citibank, N.A. |
(0.41 |
)% |
S&P 500� |
(11,302,976 |
) |
11,302,976 |
� |
� |
||||||||||||||||||||||||
(370,850,450 |
) |
11/06/17 |
Credit
Suisse International |
(0.54 |
)% |
S&P 500� |
2,783,698 |
� |
(2,440,000 |
) |
343,698 |
||||||||||||||||||||||||
(644,668,168 |
) |
11/06/17 |
Deutsche Bank AG |
(0.46 |
)% |
S&P 500� |
(29,384,295 |
) |
|||||||||||||||||||||||||||
(268,162 |
) |
11/06/17 |
Deutsche Bank AG |
(0.34 |
)% |
SPDR� S&P
500� ETF Trust |
(15,306 |
) |
|||||||||||||||||||||||||||
(644,936,330 |
) |
(29,399,601 |
) |
29,399,601 |
� |
� |
|||||||||||||||||||||||||||||
(108,155,570 |
) |
01/08/18 |
Goldman
Sachs International |
(0.31 |
)% |
S&P 500� |
(22,878,102 |
) |
|||||||||||||||||||||||||||
(706,389 |
) |
11/07/16 |
Goldman Sachs International |
(0.22 |
)% |
SPDR� S&P 500� ETF Trust |
(49,035 |
) |
|||||||||||||||||||||||||||
(108,861,959 |
) |
(22,927,137 |
) |
22,927,137 |
� |
� |
|||||||||||||||||||||||||||||
(89,943,606 |
) |
01/06/17 |
Morgan Stanley & Co. International PLC |
(0.29 |
)% |
S&P 500� |
(1,763,139 |
) |
� |
1,763,139 |
� |
||||||||||||||||||||||||
(137,888,322 |
) |
11/06/17 |
Societe Generale |
(0.34 |
)% |
S&P 500� |
(18,339,025 |
) |
18,339,025 |
� |
� |
||||||||||||||||||||||||
(88,088,005 |
) |
11/07/16 |
UBS AG |
(0.19 |
)% |
S&P 500� |
(11,093,980 |
) |
11,093,980 |
� |
� |
||||||||||||||||||||||||
$ |
(2,375,178,822 |
) |
$ |
(131,282,389 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRAPRO SHORT S&P500� SPXU :: 87
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 89.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
74,000,000 |
0.00%, due 06/02/16 |
$ |
73,999,567 |
|||||||
80,000,000 |
0.00%, due 06/09/16 |
79,995,289 |
|||||||||
4,000,000 |
0.00%, due 07/07/16 |
3,998,960 |
|||||||||
35,000,000 |
0.00%, due 07/14/16 |
34,986,831 |
|||||||||
19,000,000 |
0.00%, due 07/21/16 |
18,991,397 |
|||||||||
120,000,000 |
0.00%, due 08/11/16 |
119,936,640 |
|||||||||
13,000,000 |
0.00%, due 08/25/16 |
12,991,238 |
|||||||||
71,000,000 |
0.00%, due 09/01/16 |
70,939,579 |
|||||||||
25,000,000 |
0.00%, due 09/08/16 |
24,978,500 |
|||||||||
25,000,000 |
0.00%, due 09/15/16 |
24,976,925 |
|||||||||
25,000,000 |
0.00%, due 09/22/16 |
24,974,800 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $490,791,460) |
490,769,726 |
||||||||||
Repurchase Agreements (a)(b) � 21.7% |
|||||||||||
118,669,599 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $118,670,536 |
118,669,599 |
|||||||||
Total Repurchase
Agreements (Cost $118,669,599) |
118,669,599 |
||||||||||
Total Investment Securities (Cost $609,461,059) � 111.5% |
609,439,325 |
||||||||||
Liabilities in excess of
other assets � (11.5%) |
(62,632,692 |
) |
|||||||||
Net Assets � 100.0% |
$ |
546,806,633 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $264,846,697.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
191 |
|||||
Aggregate gross unrealized depreciation |
(21,925 |
) |
|||||
Net unrealized depreciation |
$ |
(21,734 |
) |
||||
Federal income tax cost of investments |
$ |
609,461,059 |
Futures Contracts Sold
UltraPro Short QQQ� had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
588 |
06/17/16 |
$ |
53,169,900 |
$ |
(85,907 |
) |
Cash collateral in the amount of $2,328,480 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
88 :: SQQQ ULTRAPRO SHORT QQQ� :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short QQQ� had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(164,666,406 |
) |
11/07/16 |
Bank of America, N.A. |
(0.44 |
)% |
NASDAQ-100 Index� |
$ |
(42,833,593 |
) |
$ |
42,833,593 |
$ |
� |
$ |
� |
|||||||||||||||||||
(58,913,135 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
NASDAQ-100 Index� |
831,265 |
(829,004 |
) |
(2,261 |
) |
� |
|||||||||||||||||||||||
(231,437,572 |
) |
11/06/17 |
Credit Suisse
International |
(0.54 |
)% |
NASDAQ-100 Index� |
196,749 |
� |
(196,749 |
) |
� |
||||||||||||||||||||||||
(813,483,058 |
) |
11/06/17 |
Deutsche Bank AG |
(0.56 |
)% |
NASDAQ-100 Index� |
(29,692,128 |
) |
|||||||||||||||||||||||||||
(4,171,147 |
) |
11/06/17 |
Deutsche Bank AG |
(0.36 |
)% |
PowerShares
QQQ TrustSM, Series 1 |
149,623 |
||||||||||||||||||||||||||||
(817,654,205 |
) |
(29,542,505 |
) |
25,987,505 |
3,555,000 |
� |
|||||||||||||||||||||||||||||
(42,360,508 |
) |
11/07/16 |
Goldman
Sachs International |
(0.31 |
)% |
NASDAQ-100 Index� |
(14,801,929 |
) |
|||||||||||||||||||||||||||
(71,160 |
) |
11/07/16 |
Goldman Sachs International |
(0.11 |
)% |
PowerShares QQQ TrustSM, Series 1 |
(8,114 |
) |
|||||||||||||||||||||||||||
(42,431,668 |
) |
(14,810,043 |
) |
14,810,043 |
� |
� |
|||||||||||||||||||||||||||||
(55,837,405 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.49 |
)% |
NASDAQ-100 Index� |
4,293,826 |
||||||||||||||||||||||||||||
(1,169,612 |
) |
11/06/17 |
Morgan Stanley
& Co. International PLC |
(0.24 |
)% |
PowerShares QQQ TrustSM, Series 1 |
41,092 |
||||||||||||||||||||||||||||
(57,007,017 |
) |
4,334,918 |
(4,334,918 |
) |
� |
� |
|||||||||||||||||||||||||||||
(209,469,142 |
) |
11/06/17 |
Societe Generale |
(0.54 |
)% |
NASDAQ-100 Index� |
1,844,912 |
� |
(1,844,912 |
) |
� |
||||||||||||||||||||||||
(5,621,407 |
) |
11/07/16 |
UBS AG |
(0.34 |
)% |
NASDAQ-100 Index� |
(4,818,680 |
) |
4,818,680 |
� |
� |
||||||||||||||||||||||||
$ |
(1,587,200,552 |
) |
$ |
(84,796,977 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRAPRO SHORT QQQ� SQQQ :: 89
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 86.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
24,000,000 |
0.00%, due 06/16/16 |
$ |
23,997,291 |
|||||||
18,000,000 |
0.00%, due 06/30/16 |
17,995,360 |
|||||||||
10,000,000 |
0.00%, due 07/07/16 |
9,997,790 |
|||||||||
20,000,000 |
0.00%, due 07/21/16 |
19,990,944 |
|||||||||
14,000,000 |
0.00%, due 07/28/16 |
13,995,389 |
|||||||||
30,000,000 |
0.00%, due 08/11/16 |
29,984,160 |
|||||||||
25,000,000 |
0.00%, due 08/25/16 |
24,983,150 |
|||||||||
15,000,000 |
0.00%, due 09/08/16 |
14,987,100 |
|||||||||
3,000,000 |
0.00%, due 09/15/16 |
2,997,231 |
|||||||||
4,000,000 |
0.00%, due 09/22/16 |
3,995,968 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $162,931,574) |
162,924,383 |
||||||||||
Repurchase Agreements (a)(b) � 27.4% |
|||||||||||
51,615,404 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $51,615,811 |
51,615,404 |
|||||||||
Total Repurchase Agreements (Cost $51,615,404) |
51,615,404 |
||||||||||
Total Investment
Securities (Cost $214,546,978) � 113.7% |
214,539,787 |
||||||||||
Liabilities in excess of other assets � (13.7%) |
(25,820,893 |
) |
|||||||||
Net Assets � 100.0% |
$ |
188,718,894 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $38,695,443.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
114 |
|||||
Aggregate gross unrealized depreciation |
(7,305 |
) |
|||||
Net unrealized depreciation |
$ |
(7,191 |
) |
||||
Federal income tax cost of investments |
$ |
214,546,978 |
Futures Contracts Sold
UltraPro Short Dow30SM had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
250 |
06/17/16 |
$ |
22,206,250 |
$ |
20,231 |
Cash collateral in the amount of $893,750 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
90 :: SDOW ULTRAPRO SHORT DOW30SM :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short Dow30SM had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(28,477,337 |
) |
11/07/16 |
Bank of America, N.A. |
(0.39 |
)% |
Dow Jones Industrial AverageSM |
$ |
(5,814,492 |
) |
$ |
5,814,492 |
$ |
� |
$ |
� |
|||||||||||||||||||
(89,305,907 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
Dow Jones Industrial AverageSM |
(608,205 |
) |
47,205 |
561,000 |
� |
||||||||||||||||||||||||
(336,922 |
) |
11/06/17 |
Credit
Suisse International |
(0.54 |
)% |
Dow Jones Industrial AverageSM |
(2,062 |
) |
2,062 |
� |
� |
||||||||||||||||||||||||
(2,971,994 |
) |
11/06/17 |
Deutsche Bank AG |
(0.21 |
)% |
Dow Jones Industrial AverageSM |
(87,158 |
) |
|||||||||||||||||||||||||||
(968,591 |
) |
11/06/17 |
Deutsche Bank AG |
(0.16 |
)% |
SPDR� Dow
Jones Industrial AverageSM ETF Trust |
(1,437 |
) |
|||||||||||||||||||||||||||
(3,940,585 |
) |
(88,595 |
) |
� |
88,595 |
� |
|||||||||||||||||||||||||||||
(4,456,150 |
) |
11/06/17 |
Goldman
Sachs International |
(0.09 |
)% |
SPDR� Dow
Jones Industrial AverageSM ETF Trust |
(59,675 |
) |
|||||||||||||||||||||||||||
(480,949 |
) |
11/06/17 |
Goldman Sachs International |
(0.26 |
)% |
Dow Jones Industrial AverageSM |
(7,216 |
) |
|||||||||||||||||||||||||||
(4,937,099 |
) |
(66,891 |
) |
� |
66,891 |
� |
|||||||||||||||||||||||||||||
(159,708,991 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
(0.24 |
)% |
Dow Jones Industrial AverageSM |
(14,546,370 |
) |
14,546,370 |
� |
� |
||||||||||||||||||||||||
(78,938,742 |
) |
11/06/17 |
Societe Generale |
(0.49 |
)% |
Dow Jones Industrial AverageSM |
1,513,443 |
� |
(1,513,443 |
) |
� |
||||||||||||||||||||||||
(178,399,035 |
) |
11/07/16 |
UBS AG |
(0.54 |
)% |
Dow Jones Industrial AverageSM |
(8,434,843 |
) |
8,434,843 |
� |
� |
||||||||||||||||||||||||
$ |
(544,044,618 |
) |
$ |
(28,048,015 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRAPRO SHORT DOW30SM SDOW :: 91
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 94.1% |
|||||||||||
$ |
4,047,779 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $4,047,812 |
$ |
4,047,779 |
|||||||
Total Repurchase
Agreements (Cost $4,047,779) |
4,047,779 |
||||||||||
Total Investment Securities (Cost $4,047,779) � � 94.1% |
4,047,779 |
||||||||||
Other assets less liabilities � 5.9% |
251,684 |
||||||||||
Net Assets � 100.0% |
$ |
4,299,463 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short MidCap400 had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
4 |
06/17/16 |
$ |
596,320 |
$ |
(19,508 |
) |
Cash collateral in the amount of $25,080 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
Swap Agreements1
UltraPro Short MidCap400 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,188,578 |
) |
11/06/17 |
Bank of America, N.A. |
(0.24 |
)% |
S&P MidCap 400� |
$ |
(78,852 |
) |
$ |
� |
$ |
16,000 |
$ |
(62,852 |
) |
||||||||||||||||||
(1,974,776 |
) |
11/06/17 |
Citibank, N.A. |
(0.41 |
)% |
S&P MidCap 400� |
(454,491 |
) |
� |
397,000 |
(57,491 |
) |
|||||||||||||||||||||||
(131,080 |
) |
11/06/17 |
Credit
Suisse International |
(0.44 |
)% |
S&P MidCap 400� |
(3,532 |
) |
� |
� |
(3,532 |
) |
|||||||||||||||||||||||
(201,907 |
) |
11/06/17 |
Deutsche Bank AG |
(0.01 |
)% |
S&P MidCap 400� |
(5,533 |
) |
� |
� |
(5,533 |
) |
|||||||||||||||||||||||
(136,024 |
) |
11/06/17 |
Goldman
Sachs International |
0.24 |
% |
SPDR�
S&P MidCap 400� ETF Trust |
(6,175 |
) |
� |
6,175 |
� |
||||||||||||||||||||||||
(7,340,794 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
S&P MidCap 400� |
(1,065,391 |
) |
� |
953,000 |
(112,391 |
) |
|||||||||||||||||||||||
(327,371 |
) |
11/06/17 |
Societe Generale |
(0.34 |
)% |
S&P MidCap 400� |
256,910 |
� |
(256,910 |
) |
� |
||||||||||||||||||||||||
$ |
(12,300,530 |
) |
$ |
(1,357,064 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
92 :: SMDD ULTRAPRO SHORT MIDCAP400 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 105.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
14,000,000 |
0.00%, due 06/09/16 |
$ |
13,999,176 |
|||||||
20,000,000 |
0.00%, due 06/23/16 |
19,996,700 |
|||||||||
11,000,000 |
0.00%, due 06/30/16 |
10,997,164 |
|||||||||
8,000,000 |
0.00%, due 07/07/16 |
7,997,920 |
|||||||||
37,000,000 |
0.00%, due 08/04/16 |
36,982,647 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $89,975,666) |
89,973,607 |
||||||||||
Repurchase Agreements (a)(b) � 31.4% |
|||||||||||
26,852,154 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $26,852,366 |
26,852,154 |
|||||||||
Total Repurchase
Agreements (Cost $26,852,154) |
26,852,154 |
||||||||||
Total Investment Securities (Cost $116,827,820) � 136.7% |
116,825,761 |
||||||||||
Liabilities in excess of
other assets � (36.7%) |
(31,373,065 |
) |
|||||||||
Net Assets � 100.0% |
$ |
85,452,696 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $33,775,460.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
� |
|||||
Aggregate gross unrealized depreciation |
(2,059 |
) |
|||||
Net unrealized depreciation |
$ |
(2,059 |
) |
||||
Federal income tax cost of investments |
$ |
116,827,820 |
Futures Contracts Sold
UltraPro Short Russell2000 had the following open short futures contracts as of May 31, 2016:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
13 |
06/17/16 |
$ |
1,498,770 |
$ |
(18,493 |
) |
Cash collateral in the amount of $70,200 was pledged to cover margin requirements for open futures contracts as of May 31, 2016.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRAPRO SHORT RUSSELL2000 SRTY :: 93
Swap Agreements1
UltraPro Short Russell2000 had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(5,302,792 |
) |
11/07/16 |
Bank of America, N.A. |
0.31 |
% |
Russell 2000� Index |
$ |
(6,899,938 |
) |
$ |
6,899,938 |
$ |
� |
$ |
� |
|||||||||||||||||||
(26,364,035 |
) |
11/06/17 |
Citibank, N.A. |
0.29 |
% |
Russell 2000� Index |
(1,488,001 |
) |
1,339,001 |
149,000 |
� |
||||||||||||||||||||||||
(60,090 |
) |
11/06/17 |
Credit Suisse
International |
0.36 |
% |
Russell 2000� Index |
1,685 |
� |
� |
1,685 |
|||||||||||||||||||||||||
(1,214,850 |
) |
11/06/17 |
Deutsche Bank AG |
0.59 |
% |
Russell 2000� Index |
29,744 |
||||||||||||||||||||||||||||
iShares� Russell 2000 |
|||||||||||||||||||||||||||||||||||
(1,025,948 |
) |
11/06/17 |
Deutsche Bank AG |
0.59 |
% |
ETF |
26,204 |
||||||||||||||||||||||||||||
(2,240,798 |
) |
55,948 |
� |
(55,948 |
) |
� |
|||||||||||||||||||||||||||||
(43,541 |
) |
11/06/17 |
Goldman Sachs International |
0.34 |
% |
Russell 2000� Index |
(21 |
) |
� |
21 |
� |
||||||||||||||||||||||||
(99,051,127 |
) |
11/06/17 |
Morgan Stanley
& Co. International PLC |
0.26 |
% |
Russell 2000� Index |
(17,458,472 |
) |
|||||||||||||||||||||||||||
(405,426 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
0.46 |
% |
iShares� Russell 2000 ETF |
10,649 |
||||||||||||||||||||||||||||
(99,456,553 |
) |
(17,447,823 |
) |
17,071,496 |
� |
(376,327 |
) |
||||||||||||||||||||||||||||
(49,660,193 |
) |
11/06/17 |
Societe Generale |
0.26 |
% |
Russell 2000� Index |
(4,051,087 |
) |
4,051,087 |
� |
� |
||||||||||||||||||||||||
(71,769,103 |
) |
11/07/16 |
UBS AG |
0.21 |
% |
Russell 2000� Index |
(2,346,735 |
) |
2,346,735 |
� |
� |
||||||||||||||||||||||||
$ |
(254,897,105 |
) |
$ |
(32,175,972 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
94 :: SRTY ULTRAPRO SHORT RUSSELL2000 :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security � 73.0% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
10,000,000 |
0.00%, due 06/16/16 |
$ |
9,998,871 |
|||||||
Total U.S. Government & Agency
Security (Cost $9,998,871) |
9,998,871 |
||||||||||
Repurchase Agreements (a) � 14.9% |
|||||||||||
2,048,427 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,048,442 |
2,048,427 |
|||||||||
Total Repurchase
Agreements (Cost $2,048,427) |
2,048,427 |
||||||||||
Total Investment Securities (Cost $12,047,298) � � 87.9% |
12,047,298 |
||||||||||
Other assets less liabilities � 12.1% |
1,654,440 |
||||||||||
Net Assets � 100.0% |
$ |
13,701,738 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
Short Basic Materials had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(211,897 |
) |
11/06/17 |
Bank of America, N.A. |
(0.14 |
)% |
Dow Jones
U.S. Basic MaterialsSM Index |
$ |
(86,002 |
) |
$ |
� |
$ |
86,002 |
$ |
� |
|||||||||||||||||||
(10,874,605 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(2,017,862 |
) |
� |
2,017,862 |
� |
||||||||||||||||||||||||
(827,852 |
) |
11/06/17 |
Deutsche Bank AG |
(0.11 |
)% |
Dow Jones U.S.
Basic MaterialsSM Index |
(265,948 |
) |
� |
219,000 |
(46,948 |
) |
|||||||||||||||||||||||
(324,678 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(17,155 |
) |
� |
� |
(17,155 |
) |
|||||||||||||||||||||||
(223,683 |
) |
11/06/17 |
Societe Generale |
(0.19 |
)% |
Dow Jones
U.S. Basic MaterialsSM Index |
(12,251 |
) |
� |
12,251 |
� |
||||||||||||||||||||||||
(1,227,532 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(442,263 |
) |
� |
442,263 |
� |
||||||||||||||||||||||||
$ |
(13,690,247 |
) |
$ |
(2,841,481 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT BASIC MATERIALS SBM :: 95
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities � 76.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
12,000,000 |
0.00%, due 06/02/16 |
$ |
11,999,903 |
|||||||
20,000,000 |
0.00%, due 06/16/16 |
19,997,742 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $31,997,645) |
31,997,645 |
||||||||||
Repurchase Agreements (a) � 16.9% |
|||||||||||
7,108,568 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $7,108,624 |
7,108,568 |
|||||||||
Total Repurchase Agreements (Cost $7,108,568) |
7,108,568 |
||||||||||
Total Investment
Securities (Cost $39,106,213) � � 93.2% |
39,106,213 |
||||||||||
Other assets less liabilities � 6.8% |
2,834,949 |
||||||||||
Net Assets � 100.0% |
$ |
41,941,162 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
Short Financials had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,779,387 |
) |
11/06/17 |
Bank of America, N.A. |
(0.24 |
)% |
Dow Jones
U.S. FinancialsSM Index |
$ |
(773,195 |
) |
$ |
� |
$ |
650,000 |
$ |
(123,195 |
) |
||||||||||||||||||
(4,357,968 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. FinancialsSM Index |
59,922 |
� |
(59,922 |
) |
� |
||||||||||||||||||||||||
(2,498,565 |
) |
11/06/17 |
Deutsche Bank AG |
0.14 |
% |
Dow Jones
U.S. FinancialsSM Index |
152,390 |
� |
(152,390 |
) |
� |
||||||||||||||||||||||||
(4,313,684 |
) |
11/06/17 |
Goldman Sachs International |
(0.66 |
)% |
Dow Jones U.S. FinancialsSM Index |
(396,854 |
) |
� |
396,854 |
� |
||||||||||||||||||||||||
(2,670,526 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.19 |
)% |
Dow Jones
U.S. FinancialsSM Index |
51,537 |
(51,537 |
) |
� |
� |
||||||||||||||||||||||||
(5,214,064 |
) |
11/06/17 |
Societe Generale |
(0.29 |
)% |
Dow Jones U.S. FinancialsSM Index |
63,556 |
� |
(63,556 |
) |
� |
||||||||||||||||||||||||
(19,024,314 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones
U.S. FinancialsSM Index |
(2,393,188 |
) |
� |
2,393,188 |
� |
||||||||||||||||||||||||
$ |
(41,858,508 |
) |
$ |
(3,235,832 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
96 :: SEF SHORT FINANCIALS :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security � 54.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 07/21/16 |
$ |
3,998,077 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,998,077) |
3,998,077 |
||||||||||
Repurchase Agreements (a) � 15.1% |
|||||||||||
1,113,661 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $1,113,670 |
1,113,661 |
|||||||||
Total Repurchase
Agreements (Cost $1,113,661) |
1,113,661 |
||||||||||
Total Investment Securities (Cost $5,111,738) � � 69.4% |
5,111,738 |
||||||||||
Other assets less liabilities � 30.6% |
2,255,267 |
||||||||||
Net Assets � 100.0% |
$ |
7,367,005 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
Short Oil & Gas had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(318,176 |
) |
11/06/17 |
Bank of America, N.A. |
(0.04 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
$ |
1,480,975 |
$ |
(1,480,975 |
) |
$ |
� |
$ |
� |
|||||||||||||||||||
(4,590,982 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. Oil & GasSM Index |
(279,271 |
) |
� |
279,271 |
� |
||||||||||||||||||||||||
(335,565 |
) |
11/06/17 |
Deutsche Bank AG |
(0.31 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
(98,618 |
) |
� |
98,618 |
� |
||||||||||||||||||||||||
(848,721 |
) |
11/06/17 |
Goldman Sachs International |
(0.56 |
)% |
Dow Jones U.S. Oil & GasSM Index |
(69,588 |
) |
� |
69,588 |
� |
||||||||||||||||||||||||
(558,314 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
(0.34 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
(452,446 |
) |
� |
403,008 |
(49,438 |
) |
|||||||||||||||||||||||
(151,622 |
) |
11/06/17 |
Societe Generale |
(0.19 |
)% |
Dow Jones U.S. Oil & GasSM Index |
5,349 |
� |
� |
5,349 |
|||||||||||||||||||||||||
(550,472 |
) |
11/06/17 |
UBS AG |
(0.24 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
(110,326 |
) |
� |
110,326 |
� |
||||||||||||||||||||||||
$ |
(7,353,852 |
) |
$ |
476,075 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT OIL & GAS DDG :: 97
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security � 69.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
20,000,000 |
0.00%, due 06/23/16 |
$ |
19,996,370 |
|||||||
Total U.S. Government & Agency
Security (Cost $19,996,370) |
19,996,370 |
||||||||||
Repurchase Agreements (a) � 24.0% |
|||||||||||
6,916,607 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $6,916,663 |
6,916,607 |
|||||||||
Total Repurchase
Agreements (Cost $6,916,607) |
6,916,607 |
||||||||||
Total Investment Securities (Cost $26,912,977) � � 93.3% |
26,912,977 |
||||||||||
Other assets less liabilities � 6.7% |
1,937,726 |
||||||||||
Net Assets � 100.0% |
$ |
28,850,703 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
Short Real Estate had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(11,523,343 |
) |
11/07/16 |
Bank of America, N.A. |
(0.39 |
)% |
Dow Jones U.S.
Real EstateSM Index |
$ |
(4,789,336 |
) |
$ |
� |
$ |
4,789,336 |
$ |
� |
|||||||||||||||||||
(10,948,166 |
) |
11/06/17 |
Credit Suisse International |
(0.44 |
)% |
Dow Jones U.S. Real EstateSM Index |
(769,203 |
) |
� |
769,203 |
� |
||||||||||||||||||||||||
(1,122,365 |
) |
11/06/17 |
Deutsche Bank AG |
0.19 |
% |
Dow Jones U.S.
Real EstateSM Index |
(243,766 |
) |
� |
243,766 |
� |
||||||||||||||||||||||||
(534,987 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
Dow Jones U.S. Real EstateSM Index |
(43,118 |
) |
� |
� |
(43,118 |
) |
|||||||||||||||||||||||
(2,504,342 |
) |
11/06/17 |
Societe Generale |
(0.24 |
)% |
Dow Jones U.S.
Real EstateSM Index |
(117,471 |
) |
� |
27,000 |
(90,471 |
) |
|||||||||||||||||||||||
(2,187,356 |
) |
11/06/17 |
UBS AG |
(0.19 |
)% |
Dow Jones U.S. Real EstateSM Index |
(168,755 |
) |
� |
139,000 |
(29,755 |
) |
|||||||||||||||||||||||
$ |
(28,820,559 |
) |
$ |
(6,131,649 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
98 :: REK SHORT REAL ESTATE :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 108.5% |
|||||||||||
$ |
2,510,583 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,510,603 |
$ |
2,510,583 |
|||||||
Total Repurchase
Agreements (Cost $2,510,583) |
2,510,583 |
||||||||||
Total Investment Securities (Cost $2,510,583) � � 108.5% |
2,510,583 |
||||||||||
Liabilities in excess of
other assets � (8.5%) |
(197,709 |
) |
|||||||||
Net Assets � 100.0% |
$ |
2,312,874 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
Short S&P Regional Banking had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(201,894 |
) |
11/07/16 |
Bank of America, N.A. |
0.01 |
% |
S&P Regional Banks
Select Industry Index |
$ |
(103,535 |
) |
$ |
� |
$ |
� |
$ |
(103,535 |
) |
||||||||||||||||||
(103,871 |
) |
11/07/16 |
Deutsche Bank AG |
0.29 |
% |
S&P Regional Banks Select Industry Index |
(4,806 |
) |
� |
4,806 |
� |
||||||||||||||||||||||||
(101,551 |
) |
11/07/16 |
Morgan Stanley & Co.
International PLC |
0.21 |
% |
S&P Regional Banks
Select Industry Index |
(7,828 |
) |
� |
7,828 |
� |
||||||||||||||||||||||||
(1,685,015 |
) |
11/07/16 |
Societe Generale |
(0.19 |
)% |
S&P Regional Banks Select Industry Index |
(164,467 |
) |
� |
59,543 |
(104,924 |
) |
|||||||||||||||||||||||
(213,591 |
) |
11/07/16 |
UBS AG |
(0.29 |
)% |
S&P Regional Banks
Select Industry Index |
(39,908 |
) |
� |
20,838 |
(19,070 |
) |
|||||||||||||||||||||||
$ |
(2,305,922 |
) |
$ |
(320,544 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: SHORT S&P REGIONAL BANKING KRS :: 99
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) � 54.8% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
8,000,000 |
0.00%, due 07/07/16 |
$ |
7,997,920 |
|||||||
Total U.S. Government & Agency
Security (Cost $7,997,920) |
7,997,920 |
||||||||||
Repurchase Agreements (a)(b) � 16.0% |
|||||||||||
2,326,095 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,326,114 |
2,326,095 |
|||||||||
Total Repurchase
Agreements (Cost $2,326,095) |
2,326,095 |
||||||||||
Total Investment Securities (Cost $10,324,015) � � 70.8% |
10,324,015 |
||||||||||
Other assets less liabilities � 29.2% |
4,265,291 |
||||||||||
Net Assets � 100.0% |
$ |
14,589,306 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $176,961.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
UltraShort Basic Materials had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,896,042 |
) |
11/07/16 |
Bank of America, N.A. |
(0.14 |
)% |
Dow Jones U.S.
Basic MaterialsSM Index |
$ |
(2,555,547 |
) |
$ |
� |
$ |
2,555,547 |
$ |
� |
|||||||||||||||||||
(15,042,694 |
) |
11/07/16 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(3,083,349 |
) |
� |
3,083,349 |
� |
||||||||||||||||||||||||
(3,956,803 |
) |
11/06/17 |
Deutsche Bank AG |
(0.11 |
)% |
Dow Jones U.S.
Basic MaterialsSM Index |
(425,518 |
) |
� |
425,518 |
� |
||||||||||||||||||||||||
(1,376,079 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(72,708 |
) |
� |
72,708 |
� |
||||||||||||||||||||||||
(1,121,242 |
) |
11/06/17 |
Societe Generale |
(0.19 |
)% |
Dow Jones U.S.
Basic MaterialsSM Index |
(61,413 |
) |
� |
60,000 |
(1,413 |
) |
|||||||||||||||||||||||
(3,799,938 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
443,303 |
� |
(443,303 |
) |
� |
||||||||||||||||||||||||
$ |
(29,192,798 |
) |
$ |
(5,755,232 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
100 :: SMN ULTRASHORT BASIC MATERIALS :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 89.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
14,000,000 |
0.00%, due 06/09/16 |
$ |
13,999,176 |
|||||||
7,000,000 |
0.00%, due 07/07/16 |
6,998,180 |
|||||||||
20,000,000 |
0.00%, due 09/01/16 |
19,982,980 |
|||||||||
20,000,000 |
0.00%, due 09/08/16 |
19,982,800 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $60,966,703) |
60,963,136 |
||||||||||
Repurchase Agreements (a)(b) � 24.0% |
|||||||||||
16,366,066 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $16,366,194 |
16,366,066 |
|||||||||
Total Repurchase Agreements (Cost $16,366,066) |
16,366,066 |
||||||||||
Total Investment
Securities (Cost $77,332,769) � 113.6% |
77,329,202 |
||||||||||
Liabilities in excess of other assets � (13.6%) |
(9,246,913 |
) |
|||||||||
Net Assets � 100.0% |
$ |
68,082,289 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $11,015,487.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
675 |
|||||
Aggregate gross unrealized depreciation |
(4,242 |
) |
|||||
Net unrealized depreciation |
$ |
(3,567 |
) |
||||
Federal income tax cost of investments |
$ |
77,332,769 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: 101
Swap Agreements1
UltraShort Nasdaq Biotechnology had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(25,296,246 |
) |
11/06/17 |
Bank of America, N.A. |
0.06 |
% |
NASDAQ Biotechnology Index� |
$ |
(6,174,288 |
) |
|||||||||||||||||||||||||
(13,297 |
) |
11/06/17 |
Bank of America, N.A. |
0.34 |
% |
iShares� Nasdaq Biotechnology ETF |
2,352 |
||||||||||||||||||||||||||||
(25,309,543 |
) |
(6,171,936 |
) |
$ |
6,171,936 |
$ |
� |
$ |
� |
||||||||||||||||||||||||||
(27,741 |
) |
11/06/17 |
Citibank, N.A. |
0.59 |
% |
NASDAQ Biotechnology Index� |
4,322 |
� |
� |
4,322 |
|||||||||||||||||||||||||
(105,820 |
) |
11/06/17 |
Credit Suisse
International |
0.26 |
% |
NASDAQ Biotechnology Index� |
183,447 |
� |
� |
183,447 |
|||||||||||||||||||||||||
(7,813,785 |
) |
11/06/17 |
Deutsche Bank AG |
0.39 |
% |
NASDAQ Biotechnology Index� |
(918,543 |
) |
866,534 |
� |
(52,009 |
) |
|||||||||||||||||||||||
(116,843 |
) |
11/06/17 |
Morgan Stanley & Co.
International PLC |
0.26 |
% |
NASDAQ Biotechnology Index� |
20,651 |
||||||||||||||||||||||||||||
(52,542 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
1.06 |
% |
iShares� Nasdaq Biotechnology ETF |
9,043 |
||||||||||||||||||||||||||||
(169,385 |
) |
29,694 |
� |
� |
29,694 |
||||||||||||||||||||||||||||||
(63,994,629 |
) |
01/08/18 |
Societe Generale |
0.11 |
% |
NASDAQ Biotechnology Index� |
(2,632,107 |
) |
2,472,260 |
� |
(159,847 |
) |
|||||||||||||||||||||||
(38,428,843 |
) |
11/06/17 |
UBS AG |
0.06 |
% |
NASDAQ Biotechnology Index� |
3,826,222 |
� |
(3,826,222 |
) |
� |
||||||||||||||||||||||||
$ |
(135,849,746 |
) |
$ |
(5,678,901 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
102 :: BIS ULTRASHORT NASDAQ BIOTECHNOLOGY :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 87.8% |
|||||||||||
$ |
1,941,342 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $1,941,357 |
$ |
1,941,342 |
|||||||
Total Repurchase
Agreements (Cost $1,941,342) |
1,941,342 |
||||||||||
Total Investment Securities (Cost $1,941,342) � � 87.8% |
1,941,342 |
||||||||||
Other assets less liabilities � 12.2% |
269,281 |
||||||||||
Net Assets � 100.0% |
$ |
2,210,623 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
UltraShort Consumer Goods had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,864,707 |
) |
11/06/17 |
Bank of America, N.A. |
(0.24 |
)% |
Dow Jones U.S.
Consumer GoodsSM Index |
$ |
(75,393 |
) |
|||||||||||||||||||||||||
(13,610 |
) |
11/06/17 |
Bank of America, N.A. |
0.07 |
% |
iShares� U.S. Consumer Goods ETF |
(670 |
) |
|||||||||||||||||||||||||||
(1,878,317 |
) |
(76,063 |
) |
$ |
� |
$ |
76,063 |
$ |
� |
||||||||||||||||||||||||||
(8,548 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
(297 |
) |
� |
� |
(297 |
) |
|||||||||||||||||||||||
(56,389 |
) |
11/06/17 |
Deutsche Bank AG |
(0.01 |
)% |
Dow Jones U.S.
Consumer GoodsSM Index |
(1,769 |
) |
� |
1,769 |
� |
||||||||||||||||||||||||
(118,221 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.09 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
8,902 |
||||||||||||||||||||||||||||
(16,078 |
) |
11/06/17 |
Morgan Stanley & Co.
International PLC |
0.41 |
% |
iShares� U.S.
Consumer Goods ETF |
(821 |
) |
|||||||||||||||||||||||||||
(134,299 |
) |
8,081 |
� |
� |
8,081 |
||||||||||||||||||||||||||||||
(1,114,493 |
) |
11/06/17 |
Societe Generale |
(0.19 |
)% |
Dow Jones U.S.
Consumer GoodsSM Index |
(40,263 |
) |
� |
22,361 |
(17,902 |
) |
|||||||||||||||||||||||
(1,227,583 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
(95,098 |
) |
� |
95,098 |
� |
||||||||||||||||||||||||
$ |
(4,419,629 |
) |
$ |
(205,409 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT CONSUMER GOODS SZK :: 103
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 96.4% |
|||||||||||
$ |
2,421,733 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,421,753 |
$ |
2,421,733 |
|||||||
Total Repurchase
Agreements (Cost $2,421,733) |
2,421,733 |
||||||||||
Total Investment Securities (Cost $2,421,733) � � 96.4% |
2,421,733 |
||||||||||
Other assets less liabilities � 3.6% |
90,480 |
||||||||||
Net Assets � 100.0% |
$ |
2,512,213 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
UltraShort Consumer Services had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,791,020 |
) |
11/06/17 |
Bank of America, N.A. |
(0.29 |
)% |
Dow Jones U.S.
Consumer ServicesSM Index |
$ |
(78,575 |
) |
|||||||||||||||||||||||||
(17,326 |
) |
11/06/17 |
Bank of America, N.A. |
0.07 |
% |
iShares� U.S. Consumer Services ETF |
362 |
||||||||||||||||||||||||||||
(1,808,346 |
) |
(78,213 |
) |
$ |
� |
$ |
60,000 |
$ |
(18,213 |
) |
|||||||||||||||||||||||||
(124,935 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. Consumer ServicesSM Index |
2,292 |
� |
� |
2,292 |
|||||||||||||||||||||||||
(414,583 |
) |
11/06/17 |
Deutsche Bank AG |
(0.01 |
)% |
Dow Jones U.S.
Consumer ServicesSM Index |
(8,017 |
) |
� |
� |
(8,017 |
) |
|||||||||||||||||||||||
(763,037 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
0.06 |
% |
Dow Jones U.S. Consumer ServicesSM Index |
13,959 |
||||||||||||||||||||||||||||
(8,475 |
) |
11/06/17 |
Morgan Stanley & Co.
International PLC |
0.56 |
% |
iShares� U.S.
Consumer Services ETF |
153 |
||||||||||||||||||||||||||||
(771,512 |
) |
14,112 |
� |
� |
14,112 |
||||||||||||||||||||||||||||||
(1,763,846 |
) |
11/06/17 |
Societe Generale |
(0.19 |
)% |
Dow Jones U.S.
Consumer ServicesSM Index |
61,009 |
� |
(61,009 |
) |
� |
||||||||||||||||||||||||
(133,367 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones U.S. Consumer ServicesSM Index |
16,767 |
� |
� |
16,767 |
|||||||||||||||||||||||||
$ |
(5,016,589 |
) |
$ |
7,950 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
104 :: SCC ULTRASHORT CONSUMER SERVICES :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) � 86.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
1,500,000 |
0.00%, due 06/16/16 |
$ |
1,499,931 |
|||||||
15,500,000 |
0.00%, due 06/23/16 |
15,497,349 |
|||||||||
11,000,000 |
0.00%, due 07/21/16 |
10,994,714 |
|||||||||
20,000,000 |
0.00%, due 09/01/16 |
19,982,980 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $47,979,472) |
47,974,974 |
||||||||||
Repurchase Agreements (a)(b) � 16.0% |
|||||||||||
8,858,070 |
Repurchase Agreements with
various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $8,858,140 |
8,858,070 |
|||||||||
Total Repurchase Agreements (Cost $8,858,070) |
8,858,070 |
||||||||||
Total Investment
Securities (Cost $56,837,542) � 102.6% |
56,833,044 |
||||||||||
Liabilities in excess of other assets � (2.6%) |
(1,462,442 |
) |
|||||||||
Net Assets � 100.0% |
$ |
55,370,602 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2016, the aggregate value of segregated securities was $17,713,533.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
� |
|||||
Aggregate gross unrealized depreciation |
(4,498 |
) |
|||||
Net unrealized depreciation |
$ |
(4,498 |
) |
||||
Federal income tax cost of investments |
$ |
56,837,542 |
Swap Agreements1
UltraShort Financials had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(12,211,635 |
) |
11/06/17 |
Bank of America, N.A. |
(0.24 |
)% |
Dow Jones U.S. FinancialsSM Index |
$ |
(2,156,076 |
) |
$ |
2,156,076 |
$ |
� |
$ |
� |
|||||||||||||||||||
(22,609,001 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. FinancialsSM Index |
310,872 |
� |
(250,000 |
) |
60,872 |
||||||||||||||||||||||||
(5,950,612 |
) |
11/06/17 |
Deutsche Bank AG |
0.14 |
% |
Dow Jones U.S. FinancialsSM Index |
(97,377 |
) |
51,982 |
4,000 |
(41,395 |
) |
|||||||||||||||||||||||
(38,140,930 |
) |
01/08/18 |
Goldman Sachs International |
(0.66 |
)% |
Dow Jones U.S. FinancialsSM Index |
(4,829,195 |
) |
� |
4,829,195 |
� |
||||||||||||||||||||||||
(7,754,887 |
) |
11/06/17 |
Morgan Stanley &
Co. International PLC |
(0.19 |
)% |
Dow Jones U.S. FinancialsSM Index |
(300,661 |
) |
� |
300,661 |
� |
||||||||||||||||||||||||
(10,836,278 |
) |
11/06/17 |
Societe Generale |
(0.29 |
)% |
Dow Jones U.S. FinancialsSM Index |
132,088 |
� |
(132,088 |
) |
� |
||||||||||||||||||||||||
(13,053,689 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones U.S. FinancialsSM Index |
(1,584,089 |
) |
1,584,089 |
� |
� |
||||||||||||||||||||||||
$ |
(110,557,032 |
) |
$ |
(8,524,438 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT FINANCIALS SKF :: 105
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
106 :: SKF ULTRASHORT FINANCIALS :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 81.9% |
|||||||||||
$ |
2,501,172 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,501,192 |
$ |
2,501,172 |
|||||||
Total Repurchase
Agreements (Cost $2,501,172) |
2,501,172 |
||||||||||
Total Investment Securities (Cost $2,501,172) � � 81.9% |
2,501,172 |
||||||||||
Other assets less liabilities � 18.1% |
552,603 |
||||||||||
Net Assets � 100.0% |
$ |
3,053,775 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1,5
UltraShort Gold Miners had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(897,036 |
) |
01/08/18 |
Bank of America, N.A. |
(0.04 |
)% |
VanEck Vectors
Gold Miners ETF |
$ |
(1,334 |
) |
$ |
� |
$ |
1,334 |
$ |
� |
|||||||||||||||||||
(3,016,648 |
) |
11/06/17 |
Deutsche Bank AG |
(0.26 |
)% |
VanEck Vectors Gold Miners ETF |
152,619 |
� |
(152,619 |
) |
� |
||||||||||||||||||||||||
(118,581 |
) |
01/08/18 |
Goldman Sachs
International |
(0.21 |
)% |
VanEck Vectors
Gold Miners ETF |
(28,149 |
) |
� |
� |
(28,149 |
) |
|||||||||||||||||||||||
(1,516,358 |
) |
01/08/18 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
VanEck Vectors Gold Miners ETF |
(398,173 |
) |
� |
398,173 |
� |
||||||||||||||||||||||||
(85,230 |
) |
01/08/18 |
Societe Generale |
0.06 |
% |
VanEck Vectors
Gold Miners ETF |
(20,282 |
) |
� |
� |
(20,282 |
) |
|||||||||||||||||||||||
(464,607 |
) |
01/08/18 |
UBS AG |
(0.29 |
)% |
VanEck Vectors Gold Miners ETF |
(219,931 |
) |
� |
133,000 |
(86,931 |
) |
|||||||||||||||||||||||
$ |
(6,098,460 |
) |
$ |
(515,250 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT GOLD MINERS GDXS :: 107
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 93.5% |
|||||||||||
$ |
402,565 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $402,568 |
$ |
402,565 |
|||||||
Total Repurchase
Agreements (Cost $402,565) |
402,565 |
||||||||||
Total Investment Securities (Cost $402,565) � � 93.5% |
402,565 |
||||||||||
Other assets less liabilities � 6.5% |
27,957 |
||||||||||
Net Assets � 100.0% |
$ |
430,522 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1,5
UltraShort Junior Miners had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(133,807 |
) |
01/08/18 |
Bank of America, N.A. |
0.06 |
% |
VanEck Vectors
Junior Gold Miners ETF |
$ |
(1,692 |
) |
$ |
� |
$ |
1,692 |
$ |
� |
|||||||||||||||||||
(75,602 |
) |
01/08/18 |
Deutsche Bank AG |
(0.01 |
)% |
VanEck Vectors Junior Gold Miners ETF |
(10,411 |
) |
� |
� |
(10,411 |
) |
|||||||||||||||||||||||
(148,511 |
) |
11/06/17 |
Goldman Sachs
International |
0.44 |
% |
VanEck Vectors
Junior Gold Miners ETF |
(119,931 |
) |
� |
70,000 |
(49,931 |
) |
|||||||||||||||||||||||
(238,957 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
VanEck Vectors Junior Gold Miners ETF |
(30,346 |
) |
� |
30,346 |
� |
||||||||||||||||||||||||
(86,841 |
) |
11/07/16 |
Societe Generale |
0.06 |
% |
VanEck Vectors
Junior Gold Miners ETF |
(36,897 |
) |
� |
� |
(36,897 |
) |
|||||||||||||||||||||||
(177,087 |
) |
11/06/17 |
UBS AG |
(0.29 |
)% |
VanEck Vectors Junior Gold Miners ETF |
(174,353 |
) |
� |
80,000 |
(94,353 |
) |
|||||||||||||||||||||||
$ |
(860,805 |
) |
$ |
(373,630 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
108 :: GDJS ULTRASHORT JUNIOR MINERS :: MAY 31, 2016 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) � 96.2% |
|||||||||||
$ |
2,736,779 |
Repurchase Agreements with various counterparties, rates 0.27% - 0.30%, dated 05/31/16, due 06/01/16, total to be received $2,736,800 |
$ |
2,736,779 |
|||||||
Total Repurchase
Agreements (Cost $2,736,779) |
2,736,779 |
||||||||||
Total Investment Securities (Cost $2,736,779) � � 96.2% |
2,736,779 |
||||||||||
Other assets less liabilities � 3.8% |
107,884 |
||||||||||
Net Assets � 100.0% |
$ |
2,844,663 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
� Tax basis equals book cost.
Swap Agreements1
UltraShort Health Care had the following open swap agreements as of May 31, 2016:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,287,349 |
) |
11/06/17 |
Bank of America, N.A. |
(0.24 |
)% |
Dow Jones U.S. Health CareSM Index |
$ |
(263,336 |
) |
|||||||||||||||||||||||||
(7,847 |
) |
11/06/17 |
Bank of America, N.A. |
0.07 |
% |
iShares� U.S. Healthcare ETF |
47 |
||||||||||||||||||||||||||||
(3,295,196 |
) |
(263,289 |
) |
$ |
� |
$ |
263,289 |
$ |
� |
||||||||||||||||||||||||||
(64,775 |
) |
11/06/17 |
Credit Suisse International |
(0.54 |
)% |
Dow Jones U.S. Health CareSM Index |
(97 |
) |
� |
� |
(97 |
) |
|||||||||||||||||||||||
(215,084 |
) |
11/06/17 |
Deutsche Bank AG |
(0.31 |
)% |
Dow Jones U.S. Health CareSM Index |
(119,409 |
) |
� |
20,000 |
(99,409 |
) |
|||||||||||||||||||||||
(1,277,415 |
) |
11/06/17 |
Morgan Stanley & Co. International PLC |
(0.14 |
)% |
Dow Jones U.S. Health CareSM Index |
182,603 |
||||||||||||||||||||||||||||
(9,893 |
) |
11/06/17 |
Morgan Stanley & Co.
International PLC |
0.36 |
% |
iShares� U.S.
Healthcare ETF |
43 |
||||||||||||||||||||||||||||
(1,287,308 |
) |
182,646 |
(182,646 |
) |
� |
� |
|||||||||||||||||||||||||||||
(530,349 |
) |
11/06/17 |
Societe Generale |
(0.19 |
)% |
Dow Jones U.S. Health CareSM Index |
5,252 |
� |
(5,252 |
) |
� |
||||||||||||||||||||||||
(288,335 |
) |
11/06/17 |
UBS AG |
(0.34 |
)% |
Dow Jones U.S. Health CareSM Index |
(28,055 |
) |
� |
18,000 |
(10,055 |
) |
|||||||||||||||||||||||
$ |
(5,681,047 |
) |
$ |
(222,952 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2016 :: ULTRASHORT HEALTH CARE RXD :: 109